The invention discloses a double-layer structured catalyst used for methane catalytic combustion and a preparation method thereof. The double-layer structured catalyst comprises a carrier and an active coating arranged on the carrier, wherein the active coating comprises a rare-earth composite molecular sieve loaded Pt coating and a rare-earth composite aluminum oxide loaded Pd coating which are sequentially arranged; and a weight ratio of the rare-earth composite molecular sieve loaded Pt coating to the rare-earth composite aluminum oxide loaded Pd coating is 1:(1-1.4). The double-layer structured catalyst disclosed by the invention can be used for catalytic combustion of low-concentration methane, wherein the active coating is of a double-layer structure composed of the rare-earth composite molecular sieve loaded Pt coating and the rare-earth composite aluminum oxide loaded Pd coating; the preparation method is simple and easy to implement, the prepared catalyst is high in activity, and the catalytic combustion effect on methane is good.