The invention discloses a composite structure with a PMI sandwich as well as a preparation method and application of the composite structure. The composite structure comprises a core material (I) and two skin layers (II) which are arranged on the upper and lower surfaces of the core material (I), wherein the skin layers are made of a resin-based fiber reinforced composite; PMI foam is adopted as the core material (I); and the relative density and the thickness of the core material (I) are 75-200 kg/m<3> and 0.4-5.0 mm respectively. The prepared composite structure has the excellent properties of being high in strength, light in weight, good in inter-layer bonding effect, low in delamination and splitting possibility, and resistant to impact, high temperature and corrosion; under the premise of the same thickness, the composite structure has the similar strength with aluminum alloy, but the weight of the composite structure is less than one quarter of that of the aluminum alloy; and the composite structure is simple in preparation process, and applicable to the 3C, household appliance, automobile, aerospace or rail transportation industry.