The invention discloses Fe@Fe3O4 nanoparticles having a photothermal function, and a preparation method and an application thereof, and belongs to the field of medical science materials. The preparation method is significantly characterized by comprising: firstly, utilizing octadecene as a solvent, utilizing Fe(CO)5 as an iron source, utilizing oleyl amine as a surfactant and a stabilizer, and preparing an Fe nanomaterial having good dispersity by high temperature pyrolysis; sequentially, adding (CH3)3NO at the high temperature for oxidization to form one layer of Fe3O4 shell on the surface layer of each Fe nanoparticle, and then improving water solubility by a ligand exchange method to obtain the Fe@Fe3O4 composite material as a photothermal reagent and having high magnetization strength. The composite material has the advantages of uniform particle size, high saturation magnetization strength, and controllable morphology, and has excellent dispersion and excellent stability in aqueous solution. The reaction time is short, the raw materials are easy to get, and operation processes are convenient. On the basis of the raw materials, the Fe@Fe3O4 nanoparticles are developed to connect PEG to the surface of the material, so that the Fe@Fe3O4 nanoparticles can be applied to biological bodies. The invention provides the application of the Fe@Fe3O4 nanoparticles in the field of tumor photothermal therapy.