The invention provides a pulverized coal ammonium nitrate fuel oil explosive and a preparation method and application thereof. The pulverized coal ammonium nitrate fuel oil explosive is prepared from the following raw materials in parts by weight: 70.9-93.6 parts of porous granular ammonium nitrate, 1-25 parts of pulverized coal, and 4.1-5.4 parts of diesel oil. The preparation method comprises the following steps: (1) preparing the porous granular ammonium nitrate, pulverized coal and diesel oil according to the parts by weight; (2) uniformly mixing the porous granular ammonium nitrate, the pulverized coal and the diesel oil to obtain the pulverized coal ammonium nitrate fuel oil explosive. The pulverized coal ammonium nitrate fuel oil explosive is applied to surface mine blasting including rock loosening blasting, blasting for throwing rock and millisecond blasting. The pulverized coal ammonium nitrate fuel oil explosive has great explosive power, wave impedance similar to that of rock, and high throwing rate in blasting for throwing rock, and has low unit consumption, good blasting effect and low cost in various blasting processes. The preparation method is simple. The blasting effect is good in the blasting process.