The present invention discloses a self-heating hydrogen supply apparatus and applications thereof. The self-heating hydrogen supply apparatus adopts a concentric bushing structure and comprises an inner pipe (A) and an outer pipe (B), wherein the inner pipe is a catalytic dehydrogenation reactor, the bushing on the outer portion is a hydrogen catalytic combustion reactor, a nanometer carbon fiber catalyst bed layer having a whole grading structure is filled in the inner pipe, a catalyst layer is coated on the outer wall of the inner pipe, the catalyst coating thickness is 0.15-2.5 [mu]m, the catalyst coating is used for carrying out a hydrogen catalytic combustion reaction, and the inner diameter of the outer pipe of the bushing is 1.2-2 times the outer diameter of the inner pipe.