A single dust particle confined in an asymmetric ratchet potential is periodically driven by two oppositely directed laser beams, forming an underdamped dusty plasma rocking ratchet. We experimentally investigate the transport dynamics of the particle under varying driving amplitudes and frequencies. Depending on the driving conditions, the particle exhibits positive, zero, or negative net currents, and current reversal is observed when the driving parameters cross critical thresholds. To interpret these transport behaviors, we develop a simplified model based on the competition between the driving force and the ratchet confinement. The model reveals that directional transport is governed by two requirements: the driving force must exceed the depinning threshold, and the duration of a driving semicycle must be longer than the uphill escape time from a ratchet well. The resulting dynamic phase diagram quantitatively reproduces the experimentally observed transport regimes and current reversals. These results demonstrate dusty plasma as a versatile platform for investigating nonequilibrium transport phenomena of underdamped particles in rocking ratchets.