In order to improve the thread‐forming quality of diesel engine piston connecting rod, the internal thread cold extrusion process was adopted for the through‐hole structure of 42CrMo4 high‐strength steel. The influence of different structural parameters of the tap on the residual stress distribution of the cold extrusion internal threads and self‐wear were discussed with the help of three‐dimensional elastic–plastic finite element model. The wear of tap was observed by an electron microscope, coordinated with the residual stress distribution of thread was measured by X‐ray diffraction to explore the relationship between residual stress distribution of the cold extrusion internal thread, tool wear and tap structure. The optimal combination of tap structure parameters of residual stress and tool wear was obtained through grey relation method. The residual compressive stress and the depth of stress layer near the thread surface increased and the wear condition of the extrusion tap was improved when the tap with optimised structural parameters was used for processing, while maintaining the original thread connection strength. The results show that the internal thread with better‐forming quality can be obtained by using the optimised extrusion tap, while the service life of the tap was prolonged.