The invention discloses a compound fish feed capable of improving the body immunity. The compound fish feed is characterized by comprising the following raw materials in parts by weight: 50-60 parts of bean pulp, 30-50 parts of bran, 20-40 parts of corn meal, 5-10 parts of eucommia ulmoides leaf powder, 5-10 parts of echinacea purpurea powder, 8-15 parts of artemisia argyi powder, 10-15 parts of purslane powder, 8-15 parts of pine needle meal, 3-6 parts of yeast selenium, 5-8 parts of cellulase, 10-20 parts of a Chinese herbal medicine preparation, 10-15 parts of a bacillus subtilis preparation, 10-25 parts of medicated food fungi and 5-10 parts of yeasts. A preparation method of the compound fish feed comprises the following steps: mixing the raw materials such as the bean pulp, the bran, the corn meal, the eucommia ulmoides leaf powder, the echinacea purpurea powder, the artemisia argyi powder, the purslane powder, the pine needle meal, the Chinese herbal medicine preparation and the yeast selenium according to a certain ratio; wetting the materials, namely fully wetting the raw materials by water according to a mass ratio of the raw materials to the water of 2 to 1, and uniformly mixing to guarantee that the materials are dispersed but not clotted and no clots are formed; sterilizing, namely sterilizing at 121 DEG C for 60 minutes, cooling the sterilized materials to the room temperature, and adding cellulase and bacillus subtilis into an aseptic room; performing enzymolysis, namely keeping the constant temperature of 50 DEG C for 72 hours, and stirring twice per day for enabling fermented materials to be dispersed and uniform; inoculating activation yeasts, namely taking a proper amount of aseptic water before use, and activating at 25 DEG C for 2 hours; performing yeast fermentation, namely fermenting at 30 DEG C for 96 hours; performing hot air drying, namely drying a fermented feed by hot air at 50 DEG C for 12-24 hours, and adding the medicated food fungi.