The invention relates to an oxygen and nitrogen co-doped polyacrylonitrile-based carbon fiber and a preparation method thereof. The oxygen and nitrogen co-doped polyacrylonitrile-based carbon fiber is prepared by electrochemical modification of a raw material of a polyacrylonitrile-based carbon fiber, such that the surface thereof has an active layer consisting of oxygen-containing active functional groups and nitrogen-containing active functional groups, wherein the nitrogen-containing active functional groups are obtained by the activation of the doped nitrogen contained in the raw material of the polyacrylonitrile-based carbon fiberitselfby means of electrochemical modification. The method for preparing the oxygen and nitrogen co-doped polyacrylonitrile-based carbon fiber comprises the following steps: placing the raw material of the polyacrylonitrile-based carbon fiber into an electrolyte solution, subjecting to the cyclical processing between the electrochemical oxidation and electrochemical reduction, and thus obtaining the oxygen and nitrogen co-doped polyacrylonitrile-based carbon fiber. The oxygen and nitrogen co-doped polyacrylonitrile-based carbon fiber of the present invention has both the pseudo-capacitance properties for an oxidation-reduction reaction and the electric catalytic properties for the reduction reaction of an oxygen cathode.