The invention discloses a catalyst for producing aldehyde and ethylene through selective oxidation of ethane, and preparation and application thereof. The catalyst is a supported catalyst, for which a pure silicon mesoporous material KIT-6 is used as a carrier, molybdenum oxide is used as an active component and potassium oxide is used as an accessory ingredient. The catalyst is characterized in that the molybdenum oxide is added into the skeleton of the KIT-6 molecular sieve in a manner of doping, the potassium oxide is loaded on the surface of the KIT-6 in a manner of high dispersion, and moreover, the mole ratio of K to Mo to Si is 0.5: 1.0-5.0: 10.0. The catalyst has excellent reaction performance in selective oxidation of ethane due to high dispersion of active metal molybdenum and special local chemical environment. The skeleton-doped catalyst has obviously better reaction effect than that of the catalyst prepared by an impregnation method; meanwhile, the activity of the catalyst is greatly higher than that of the currently reported catalyst for producing aldehyde through selective oxidation of ethane.