The machining accuracy of the female mold matrix is a key factor affecting the manufacturing accuracy of the cycloid diamond roller. In order to improve the machining accuracy of the cycloidal roller female mold on the CNC (computer numerical control) machine tool, firstly, the basic curve equation of the cycloidal roller female mold is solved. Then, based on the double arc interpolation method, a mathematical model of the variable-step double-arc interpolation of the cycloidal roller female mold is established. The interpolation node data are obtained by using numerical analysis method, and the interpolation error can be adjusted by controlling the step length expansion. The feasibility of the algorithm is verified by calculation examples. The results show that the double-arc interpolation error is less than 0.01 μm, which is 75% lower than the linear interpolation error. By controlling the step length expansion, the number of fitting arc segments is reduced by 55% under the same tolerance, and the processing efficiency is improved. Moreover, the machining simulation curve fitted by the interpolation data is smooth and flat, and the tool path has G1 continuity.