The invention discloses a core-shell structure lightweight aggregate prepared by a cold bonding method and a preparation method thereof. The method comprises the steps: preparing a calcined clay-basedgreen environment-friendly cementing material from ordinary Portland cement, calcined clay, limestone powder and gypsum in proportion; putting core material particles into a lightweight aggregate granulation device, then putting the calcined clay-based green environment-friendly cementing material, and uniformly spraying a mixture for granulation to form primarily-generated cold-bonded aggregate;carrying out primary maintenance on the primarily-generated cold-bonded aggregate, soaking the primarily-generated cold-bonded aggregate in a solution containing organic acid or phenol compounds, taking out the primarily-generated cold-bonded aggregate, airing the primarily-generated cold-bonded aggregate, and repeatedly spraying a calcium hydroxide aqueous solution on the surface of the aggregate to form aggregate with a super-hydrophobic surface; and continuously putting the aggregate with the super-hydrophobic surface into water for secondary maintenance, and thus producing the super-hydrophobic high-strength lightweight aggregate. According to the core-shell structure lightweight aggregate and the preparation method thereof, energy is saved, consumption is low, the processing flow issimplified, solid waste recycling can be achieved, the water absorption rate is low, and the single bearing capacity is high.