PURPOSE: To prevent generation of roll pick-up in an arc like conveying passage at a strip conveying and turning place in a continuous annealing furnace, by providing plural water cooling rolls with a small diameter having a cooling medium passage in an inside thereof in a separated manner.

CONSTITUTION: In a shaft type continuous annealing furnace, a strip is introduced into a direct firing type non-oxidative heating chamber 11 by direct water cooling rolls 12 with a small diameter in place of a conventional large diameter turn roll and conveyed to a secondary heating chamber 14 from a gap between heat shielding walls 16 through a turn roll 15. Plural water cooling rolls 12 with a small diameter are arranged at a 180° turn conveying part of the strip 13 almost in a semi-circular separated pattern in a side of a furnace top part and, in a side of a furnace bottom part, arranged at a 90° turn conveying part in a separated manner almost over a 1/4 circle. The lowering of a temp. of the strip 13 due to each water cooling roll 12 is hardly affected because a contact length thereof is extremely short. Further, against plural small diameter rolls 12, back-up rolls can be arranged.