The invention discloses a preparation method of a molecular sieve composite membrane by taking a metallic oxide as a carrier. The preparation method comprises the following steps: firstly, diluting aluminum sol or silicon sol into a dilute solution by utilizing ethanol or water, dispersing molecular sieve granules in the dilute solution of the aluminum sol or the silicon sol, thereby obtaining a suspending liquid formed by the molecular sieve granules and the aluminum sol or the silicon sol, and carrying out ultrasonic treatment; and coating the suspending liquid on the surface of a metallic oxide granule by adopting a repeated spraying mode, drying and roasting to form a layer of composite membrane containing the molecular sieve granules and aluminum oxide or silicon oxide. The aluminum oxide layer or the silicon oxide layer is of a multihole structure, the molecular sieve granules are uniformly dispersed in the aluminum oxide or the silicon oxide, the molecular sieve composite membrane core-shell structure catalyst can be combined with a core metallic oxide catalyst and a shell molecular sieve catalyst to form a membrane reactor, so that two reactions or a plurality of reactions are coupled in one membrane reactor, the traditional contact mode of physically mixing the metallic oxide and the molecular sieve is improved, and the utilization efficiencies of two catalysts are improved.