The present invention discloses one kind of metal modified HZSM-5 molecular sieve catalyst and its preparation process and application in preparing methyl formate. The metal modified HZSM-5 molecular sieve catalyst is V, Cr, Mn, Fe, Co, Ni, Cu, Zn, Ag, Mg, Ba, Ca, Pb, Sn, Mo, W, Sr, Zr, La or Bi modified HZSM-5 molecular sieve catalyst. After the catalyst is set inside a continuously flowing immobilized bed reactor, dimethyl ether, oxygen and inert gas in certain weight proportion are introduced to react at certain temperature to prepare methyl formate. The catalyst results in high dimethyl ether converting rate and high methyl formate yield, and this proves the high reaction activity, high stability and high target product selectivity of the catalyst.