A multi-scale and multi-phase dispersion strengthened iron-based alloy, and preparation and characterization methods thereof are provided. The alloy contains a matrix and a strengthening phase. The strengthening phase includes at least two types of the strengthening phase particles with different sizes. A volume of the two types of the strengthening phase particles with different sizes having a particle size less than or equal to 50 nm accounts for 85-95% of a total volume of all the strengthening phase particles. The matrix is a Fe—Cr—W—Ti alloy. The strengthening phases include crystalline Y2O3 phase, Y—Ti—O phase, Y—Cr—O phase, and Y—W—O phase. The characterization method comprises electrolytically separating the strengthening phases in the alloy, and then characterizing by using an electron microscope. The tensile strength of the prepared alloy is more than 1600 MPa at room temperature, and is more than 600 MPa at 700° C.