The utility model relates to an extra-high voltage direct current wall bushing and a shielding structure thereof. The shielding structure comprises an inner shielding drum and an outer shielding drum which are arranged coaxially in sleeved mode. An opening at one end of the outer shielding drum is a horn-shaped opening, an annular flange is arranged on the edge of the horn-shaped opening, and an annular fixing plate is fixed on the periphery of the small end of the horn-shaped opening. A horn-shaped sleeve is fixed on the periphery of the inner shielding drum, and an annular flange is also arranged on the edge of the horn-shaped sleeve. The shielding structure further comprises a supporting column arranged axially, one end of the supporting column is fixed on the annular fixing plate, and the other end of the supporting column is fixed on the edge of the horn-shaped sleeve. During use, one end of an insulating rod is wrapped by the annular flange of the horn-shaped opening of the outer shielding drum, and the other end of the insulating rod is wrapped by the annular flange of the horn-shaped sleeve. Due to the fact that connection structures of the insulating rod and the shielding drums are all arranged in the annular shielding structure, a phenomenon that the connection structures of the insulating rod and the shielding drums affect electric field distribution in the wall bushing is avoided.