A lighting device of a steering wheel and an assembling method of the lighting device improving an assembly process and mass productivity of the lighting device by simplifying an assembly structure thereof, includes a grip body forming a rim of the steering wheel and including a body groove portion formed in a shape in which the body groove portion is cut away along the rim, a bezel fitted to the body groove portion and assembled to the grip body so that the body groove portion is covered by the bezel, the bezel including a center portion provided with a light transmission hole, and includes a light emitting body assembled to the bezel to overlap the light transmission hole from between the body groove portion and the bezel, the light emitting body being configured to emit light through the light transmission hole.