The invention discloses a loaded palladium catalyst, its preparation method and application. The preparation method of the catalyst comprises: contacting a polyethynyl aromatic compound with tetrakis(triphenylphosphine)palladium and/or dichloro-bis(triphenylphosphine)palladium in an organic solvent, and subjecting the contact product to solid-liquid separation, thus obtaining the loaded palladium catalyst. The polyethynyl aromatic compound and the total of the tetrakis(triphenylphosphine)palladium and the dichloro-bis(triphenylphosphine)palladium are in a molar ratio of 3-30:1. The loaded palladium catalyst prepared by the method disclosed in the invention has the advantages of simple preparation method, easy operation, easy control of the palladium load and the like. The prepared loaded palladium catalyst can be used for coupling reaction catalysis, can have high catalytic activity, and can be used repeatedly.