The invention provides a three-dimensional composite oxide catalyst for removing NO and coal smoke particles simultaneously and a preparation method and application thereof.The preparation method comprises the steps that under the stirring condition, a cerium source, an iron source and a zirconium source are dissolved in an organic solvent, the mixture is stirred to be uniform at the temperature of 20 DEG C to 45 DEG C, and a precursor solution is formed; a template agent is weighed and added to the precursor solution to be dipped, and then suction filtration and drying are carried out; solids obtained through drying are heated in a heating furnace for the first time and heat preservation is carried out, and then the solids obtained through drying are heated for the second time and heat preservation is carried out, and the three-dimensional composite oxide catalyst is obtained.The three-dimensional composite oxide catalyst is a cerium, iron and zirconium composite oxide, and the composition of the catalyst is Ce0.9-xFexZr0.1O2, wherein x ranges from 0.1 to 0.4.According to the catalyst, the temperature at which the coal smoke particles are combusted to be converted into CO2 and the temperature for NO conversion can be reduced to the same range, meanwhile, the NO conversion rate is increased, and the activity of catalytic coal smoke combustion is improved.