The invention discloses an MgO-SrZrO3 compound shell, application and a preparation method thereof. The compound shell adopts a surface layer material of SrZrO3 and a back layer material of magnesium oxide. The compound shell is low in reaction degree with high-activity alloy; a pollution bonding layer formed on the surface of a casting is thin; a strontium zirconate ceramic shell with magnesium oxide as a back layer is high in strength; the surface smoothness of the casting is high; and paint containing strontium zirconate is stable, not liable to gelatinize, excellent in suspension and long in preservation time. Compared with such general shells as graphite shell, CaO shell, ZrO2 shell and Al2O3 shell, the shell can reduce the interface reaction degree of high-activity alloy in precise casting and oriented solidification process with the shell material, enables the surface smoothness of the casting to be high, obtains more ideal columnar crystal or single crystal oriented solidification structure, is suitable for application in high-activity alloy precise casting and oriented solidification experiments and single crystal preparation process, and is important in industrial value.