Is this sentence correct?

First, there are two sentences. Both are acceptable, although the second might benefit from internal punctuation. (Assumption is that 'he kept doing it (wrong).)

AnonymousI had advised him not to do anything wrong. He kept doing it without listening to me and now he is in jail.

You haven't established anything that can serve as a reference for "it". As it reads it says:

I had advised him not to do anything wrong. He kept doing anything wrong ...

What it if I say,'I advised him not to do any illegal work. he kept doing it and he is in jail now.' Still incorrect?

AnonymousWhat it if I say,'I advised him not to do any illegal work. he kept doing it and he is in jail now.' Still incorrect?

The problem is "any". Use these, or something similar.

I advised him not to do [that / that illegal work / what he was doing, because it was illegal].
He kept doing it, and now he's in jail.

CJ

Thank you so much. But one thing, can I use 'had advised...' In the sentence?

I had advised him not to do illegal work. He kept doing it, and now he’s in jail. OK
I had advised him not to do what he was doing. He kept doing it, and now he’s in jail. OK but vague.
I had advised him not to do that. He continued doing it, and now he’s in jail. OK but rather weak.

AnonymousThank you so much. But one thing, can I use 'had advised...' In the sentence?

You can.

CJ