Owing to their potential applications in topological quantum computation and because of their fundamental interest, Majorana fermions are currently attracting increasing attention. Numerous theoretical and experimental studies exactly show that the quantum dot (QD) structure is a good candidate for the detection of Majorana bound state (MBSs). QD system has many unique transport properties and interesting quantum phenomena, such as quantum interference effect, Fano effect, etc. In addition, compared with a single QD, a coupled QD structure has many adjustable parameters, and thus has more important theoretical and practical value, which provides an excellent platform to detect MBSs. In addition, QD coupled with normal metallic conductor and with superconducting electrode structure exhibits interesting transport properties. One of these properties is the so-called Andreev reflection (AR). Especially, in the subgap regime, the current almost entirely originates from the anomalous Andreev channel; such spectroscopy can thus directly probe any in-gap state. In the present paper, we consider a T-shaped double QD structure with side-coupled to MBSs and investigate the transport properties through the system by adding a normal and a superconducting lead. We calculate the AR conductance through the system in the subgap transport. Here we focus on the effects of MBSs on AR through the system. We find that the AR conductance presents a resonant peak around zero Fermi energy when only one QD (QD1) connects to metal and superconducting leads. As a consequence of quantum interference, when using another QD2 side-attached to QD1, a pair of new Fano-type resonant peaks appear and is distributed aside the zero point and the Fano antiresonant point is at the energy level of the QD2. If an MBS is introduced to couple to QD2, the AR conductance shows several new features. First, a pair of new Fano-type resonance curves appears and the original ones also persist except for the position shifting. In addition, the AR conductance value at the zero Fermi energy point is exactly equal to 1/2G0(G0=2e2/h) in the presence of QD-MBS coupling and zero inter-MBS coupling, which is not dependent on the inert-dot coupling nor the energy levels of QD nor the strength of the QD-MBS coupling. This feature is different from which the T-shaped DQD structure side-coupled to a traditional fermions, showing the robust properties of the Majorana fermions. We also show that in the Andreev reflection conductance curves appear resonance zone changes into antiresonance near zero Fermi energy by adjusting the coupling strength between the double quantum dots in the system without MBSs, while the antiresonance disappears and new resonance peaks appear if an MBS is introduced to couple to QD2. We hope that these results will be helpful for understanding the quantum interference in MBS-assisted AR and may find significant applications, especially in quantum computation.