A portable electronic device with function of receiving and radiating radio frequency (RF) signal and a multi-frequency antenna thereof are disclosed. The portable electronic device comprises a RF module and a multi-frequency antenna connecting to the RF module. The multi-frequency antenna comprises a helix element and a coaxial cable disposed within the helix element. The helix element comprises a first helix portion and a second helix portion adjacent to each other, and the coaxial cable comprises a grounding portion and a radiating portion. The first helix portion covers the grounding portion, and the radiating portion is disposed within the second helix portion separated with each other.