The invention discloses a dehydrogenation catalyst for feed gas containing carbon monoxide, a preparation method and an application method thereof. The catalyst takes alumina as a carrier, palladium and / or platinum as an active component and 2 to 4 MOxes as an additive, M is sodium, potassium, magnesium, titanium, zirconium, vanadium, manganese, iron, nickel, cobalt, copper, molybdenum, tungsten or cerium, and components of the catalyst (calculated by carrier mass) are: 0.01 to 2 percent of the palladium and / or 0.01 to 1 percent of the platinum, and 1 to 2 percent of MOxes. The preparation method for the catalyst comprises the following steps that: firstly, an additive metal salt solution is used to impregnate the carrier; a palladium and / or platinum salt solution is used to impregnate the carrier after the carrier is dried and roasted; and the impregnated carrier is roasted at a temperature of between 450 and 850 DEG C to obtain the catalyst. Before the use, H2-N2 mixed gas containing more than 10 percent of hydrogen or pure hydrogen is activated by the catalyst at a temperature of between 450 and 650 DEG C. The catalyst can perform deep removal on less than 5 percent of hydrogen in the feed gas with the CO content of between 10 and 99 percent, the using temperature is between 100 and 300 DEG C, the space velocity is between 500 and 9,000h<-1>, the dehydrogenation rate is more than 99 percent, the content of outlet hydrogen is less than 100 ppm, and the loss of the carbon monoxide is less than 0.5 percent.