Millimeter-wave Holography is a promising technique for security screening to detect concealed weapons. However, a crucial disadvantage of this technique is that the close-range large-aperture operation result in a very short depth of focus. In this paper, a W-band auto-focus holographic imaging system is presented. By calculating and comparing the amplitude integral value of holographic imaging results reconstructed at different focusing distances, the algorithm can assess focusing quality of each imaging result, choose the optimal focusing distance, and extract the optimum viewing image from the imaging results. The scheme of imaging system is described in detail. Both simulation and experimental results are provided to demonstrate that the focusing performance of new auto-focus imaging system is much better than conventional holographic system.