Previous dual-frequency lasers mainly made use of artificial birefringence for frequency splitting, which were of a limited-frequency difference stability and complex construction. In this paper, we invented a novel Zeeman-birefringence He-Ne dual-frequency laser without any artificial devices, but by hole drilling in the cavity mirror. The laser-frequency difference (LFD) ranging from kilohertz to tens of megahertz was realized and the relationship between the LFD and the hole geometric sizes was investigated. Theoretical analyses were carried out. Characteristics of the LFD were explored for both the indium-sealed and hard-sealed lasers with a frequency stabilization system. The results showed the LFD with hole-drilling, indium-sealed lasers is maintained at 30 kHz within 2 h, which is better than the hard-sealed ones with a stability of 200 kHz within 2 h. The hole-drilling Zeeman-birefringence He-Ne lasers may make significant progress for the light source of the interferometers and Doppler velocimeters.