The invention relates to a composite hollow fiber membrane, single fiber of the composite hollow fiber membrane consists of a hole-forming component and a support component, wherein the support component is continuously distributed along the axial direction of each fiber in the composite hollow fiber membrane. The hole-forming component and the support component are one or any combination of a plurality of types of thermoplastic resin material, which are polyphenylene sulfide preferentially. The content by weight of the support component accounts for 2-90% of the total weight of the fiber membrane, which is 5%-8% preferentially, and 10-80% more preferentially. The preparation method of the composite hollow fiber membrane comprises the following steps: blending the hole-forming component with a hole-forming agent, carrying out granulation, then respectively extruding with the support component, and carrying out composition; carrying out drawing and heat setting treatment on obtained composite fibers obtained by composition; soaking the composite fibers after drawing and heat setting in a solvent for removing the hole-forming agent; and carrying out aerobic thermal cross-linking treatment on the composite fibers after removing the hole-forming agent, and obtaining the composite hollow fiber membrane. The composite hollow fiber membrane has the advantages of high temperature resistance, acid-alkali resistance and a wide range of applications.