The paper presents a missing data imputation method based on compressed Sensing (CS). First of all, the problem of data imputation is translated into the recovery of sparse vector under the framework of compressed sensing. Secondly, we propose an improved greedy reconstruction algorithm called Double Try Sparsity Adaptive Matching Pursuit (DTSAMP). The algorithm obtains the estimation of sparsity by trying twice to approximate the value of sparsity, and then approximates the estimated value in each iteration. As a result, the missing data sets can be reconstructed without prior information of the sparsity. Furthermore, the step size and support set are well controlled by setting thresholds during the iteration. The simulation results show that the proposed algorithm is superior to other methods in terms of reconstruction speed and accuracy, as well as better robustness.