The invention discloses a self-cleaning thin veneer waterproof material, an external wall panel made of the self-cleaning thin veneer waterproof material, and an application method of the self-cleaning thin veneer waterproof material. The self-cleaning thin veneer waterproof material is prepared from 23-45% of cement, 5-15% of admixture, 8-20% of filler, 0.1-1% of fiber, 35-50% of fine aggregate, 0.1-0.5% of superplasticizer, 1-5% of photocatalysis nanometer material and 0.3-0.8% of rubber powder. The external wall panel is formed by natural bonding of a heat insulation structural layer and a waterproof veneer layer obtained through casting of the self-cleaning thin veneer waterproof material, and is free of pull-connecting part. Compared with ordinary prefabricated insulating panels, the external wall panel has the advantages that the structure is simple, the waterproof veneer layer is thin, the waterproof effect is good, the thin veneer decoration effect is realized, and durability is high; the wall panel is completely made of inorganic materials, so that fireproof performance is excellent; the size is small, the weight is low, transportation and installation are convenient, construction is quick and efficient, and the external wall panel can be widely applied to fabricated construction.