The invention provides a transdermal analyte sensing device and an installation method thereof. The percutaneous analyte sensing device includes a medical adhesive plaster, a probe base with first, second and third installation structures on it; used for combining the probe body, the probe installer and the emitter. The probe installer includes an instant ejection-recovery mechanism and a release button, which can instantly complete the ejection and recovery actions of the guide needle without manual operation. After the probe body of the present invention is installed, the probe installer can be easily removed, and the transmitter can be easily installed and removed. The transdermal analyte sensing device of the present invention is also provided with a protective cover that can be combined with the probe base and the probe mount. The transdermal analyte sensing device of the present invention is small in size, easy to wear, simple and safe to install and operate, and provides a perfect solution for users to realize continuous blood sugar monitoring by themselves.