The invention discloses a coaxial three-layer high-activity bio-enzyme-embedded electrostatic spinning nano-fiber membrane and a preparation method thereof. The coaxial three-way electrostatic spinning technology is used to allow bio-enzyme to be embedded into the sandwich layer of slow release activating agent and porous polymer so as to form the porous nano-fiber membrane. The nano-fiber membrane of a sandwich structure sequentially comprises a slow release activating agent layer (1), an immobilized bio-enzyme layer (2) and a porous polymer layer (3) from inside to outside. By building the structure with communicating ducts, immobilization amount of enzyme is increased, sufficient contact of the enzyme and a substrate is promoted, mass transfer resistance between the enzyme and the substrate is lowered, catalytic efficiency and reusability of the enzyme are increased effectively, environmental sensitivity of the bio-enzyme is lowered, and lasting stability of the bio-enzyme when being applied in complex environments is increased.