The invention relates to a composite oxide iron-based molecular sieve SCR catalyst and a preparation method thereof. The composite oxide iron-based molecular sieve SCR catalyst is characterized in that the preparation method comprises the following steps: uniformly mixing copper oxide, iron oxide and co-catalyst metal oxide materials with molecular sieves by using a high energy ball milling method; adding an active component guiding-in agent and a surface dispersant to carry out impregnation; and ball-milling, drying, grinding and calcining to obtain the composite oxide iron-based molecular sieve SCR catalyst. The composite oxide iron-based molecular sieve SCR catalyst is used for catalytically purifying NOx in motor vehicle exhaust. The preparation process of the catalyst is simplified, the high energy ball milling method is adopted, the active component guiding-in agent and the surface dispersant are added so that metal active components are uniformly distributed in molecular sieve holes and on surfaces of the molecular sieve holes, during calcining, the metal oxide has abundant valence states, and the NOx conversion efficiency is high; and by the added co-catalyst metallic compound, sulfur resistance is improved, meanwhile, the co-catalyst metallic compound can also serve as an active component, NO-to-NO2 conversion is strengthened, the activity of the SCR catalyst is improved remarkably, and the actual application value is high.