The invention relates to a high-precision and continuously measuring photoelectric wind direction sensor which comprises a single wind vane, a circular gradient filter, an optical component and a main control circuit board. The single wind vane is connected with a rotation shaft which is vertically arranged. The circular gradient filter passes through and is fixed on the rotation shaft. The optical component comprises a first optical fiber collimator and a second optical fiber collimator, wherein the first optical fiber collimator and the second optical fiber collimator are respectively arranged on upper and lower sides of the circular gradient filter. The main control circuit board comprises a main control circuit, a laser and a photoelectric detector, wherein the laser and the photoelectric detector are connected with the main control circuit. A light emitted by the laser is transmitted to the first optical fiber collimator through an optical fiber, is transmitted to the second optical fiber collimator through the circular gradient filter, and is detected by the photoelectric detector. The main control circuit acquires the transmission light intensity according to the transmission light detected by the photoelectric detector, and then calculates a wind direction angle value according to the coefficients, which vary with circumferential angles, of the transmission light intensity and the filter transmission light intensity. The invention further provides a wind direction measuring method. According to the invention, the influence of electromagnetic interference is avoided, and the wind direction measuring accuracy is improved.