We present the results of the first systematic long-term multi-color optical monitoring of the BL Lacertae object 1ES 0806+52.4. The monitoring was performed in multiple passbands with a 60/90 cm Schmidt telescope from December 2005 to February 2011. The overall brightness of this object decreased from 2005 December to 2008 December, and regained after that. A sharp outburst probably occurred around the end of our monitoring program. Overlapped on the long-term trend are some short-term small-amplitude oscillations. No intranight variability was found in the object, which is in accord with the historical observations before 2005. By investigating the color behavior, we found strong bluer-when-brighter chromatism for the long-term variability of 1ES 0806+52.4.The total amplitudes at the c, i, and o bands are 1.18, 1.12, and 1.02 mags, respectively. The amplitudes tend to increase toward shorter wavelength, which may be the major cause of bluer-when-brighter. Such bluer-when-brighter is also found in other blazars like S5 0716+714, OJ 287, etc. The hard X-ray data collected from the Swift/BAT archive was correlated with our optical data. No positive result was found, the reason of which may be that the hard X-ray flux is a combination of the synchrotron and inverse Compton emission but with different timescales and cadences under the leptonic Synchrotron-Self-Compton (SSC) model.