A cooling fin assembly (10) includes a plurality of cooling fins (10a) joined together. Each of the cooling fins includes a main body (11a) forming four engaging members (14a) at four corners thereof respectively. Each of the engaging members includes a roll piece (15a) with an elongated hole (16a) defined therein and a connecting piece (17a) with an engaging piece (18a) extending therefrom. In assembly of the cooling fins, the engaging pieces of each of the cooling fins engage in the corresponding holes of the roll pieces of an adjacent cooling fin to thereby fasten and join the cooling fins with one another.