A yarn winding device configured to form a package by winding a yarn that is pulled from a yarn feeder (Bs), comprising: a tension applying device that applies tension to the yarn running towards the package side in a yarn running direction; a holding section that holds a first yarn when the yarn is disconnected into the first yarn on the yarn feeder side in the yarn running direction and a second yarn on the package side in the yarn running direction; a movement driving section that drives and moves the holding section between a first position where the first yarn can be caught and a second position where the first yarn can be introduced into the tension applying device; and a control section that controls the movement driving section to move the holding section from the first position to the second position while the first yarn is held in the holding section, and then return and stop the holding section at the first position, or stop the holding section at a third position on the way back to the first position, characterized in that the tension applying device is switchable between a tension released state in which the first yarn held by the holding section can be introduced, and a resistance applied state in which resistance can be applied to the first yarn that is introduced by the holding section, the control section sets the state of the tension applying device to the tension released state before moving the holding section that holds the first yarn to the second position, and switches the state of the tension applying device from the tension released state to the resistance applied state before moving the holding section, which is holding the first yarn, from the second position. a tension applying device that applies tension to the yarn running towards the package side in a yarn running direction; a holding section that holds a first yarn when the yarn is disconnected into the first yarn on the yarn feeder side in the yarn running direction and a second yarn on the package side in the yarn running direction; a movement driving section that drives and moves the holding section between a first position where the first yarn can be caught and a second position where the first yarn can be introduced into the tension applying device; and a control section that controls the movement driving section to move the holding section from the first position to the second position while the first yarn is held in the holding section, and then return and stop the holding section at the first position, or stop the holding section at a third position on the way back to the first position, characterized in that the tension applying device is switchable between a tension released state in which the first yarn held by the holding section can be introduced, and a resistance applied state in which resistance can be applied to the first yarn that is introduced by the holding section, the control section sets the state of the tension applying device to the tension released state before moving the holding section that holds the first yarn to the second position, and switches the state of the tension applying device from the tension released state to the resistance applied state before moving the holding section, which is holding the first yarn, from the second position.