The present disclosure relates to a multi-sandwich composite catalyst and a preparation method and application thereof. The present disclosure provides a preparation method of a multi-sandwich composite catalyst, comprises the following steps: sequentially depositing a first layer oxide, a first active metal, an oxide interlayer, a second active metal and a surface oxide on a template, and sequentially performing calcination and reduction, thereby obtaining a multi-sandwich composite catalyst; wherein the first active metal and the second active metal are different kinds of active metals. In the present disclosure, a multi-sandwich structure is formed by depositing the oxides and active metals alternately, so that the position and spacing distance of the active centers can be precisely controlled. The multi-sandwich composite catalyst prepared by the method provided described herein has a higher conversion than that of a catalyst without an interlayer when used for the catalytic reaction.