To form an electrode holding device of electric discharge machine so that the replacement of an electrode and the adjustment of a feed amount can be performed easily.

This electrode holding device of electric discharge machine comprises a cylindrical holding device main body 1 installed detachably on a discharge machine main body, a chuck 3 having a plurality of claw parts 12 for holding one end part of a bar-shaped electrode 2 inside the holding device main body 1, a feed amount adjusting means 4 disposed on the base part side of the chuck 3 in the axial direction of the holding device main body 1 and adjusting the feed amount of the bar-shaped electrode 2 by moving integrally together with the chuck 3, and a rotating knob 10 disposed on the feed amount adjusting means 4 at the outside end part of the holding device main body, driving the movement of the feed amount adjusting means 4, and connected electrically to the output side of a discharge circuit. Thus, the bar-shaped electrode 2 can be replaced easily by opening and closing the claw part 12, and the feed amount of the bar-shaped electrode 2 can be adjusted easily.