The invention relates to carbon nanofiber filled with metal oxide nanoparticles and a preparation method thereof. The carbon nanofiber filled with the metal oxide nanoparticles is prepared through the following steps: filling carbon nanofiber tubes with a metal salt solution under the action of milling, and carrying out drying and calcination, wherein the particle sizes of the metal oxide nanoparticles are in a range of 5 to 30 nm. The method provided by the invention has the characteristics of short filling time, capability of realizing high filling volume, simple process, greenness, environmental protection, low cost, easiness in industrialization, etc.; and the obtained carbon nanofiber has excellent mechanical and chemical stability, and has good application prospects in the fields of catalysis, sensors, electromagnetic shielding, new energy, biotechnology, high-performance composite materials, etc.