The invention discloses a self-reinforced profiled bar as well as a preparation method and application thereof. The self-reinforced profiled bar comprises a PVC (Polyvinyl Chloride) section bar and a reinforced lining material arranged in a cavity of the PVC section bar and is prepared from the components in parts by weight: 100 parts of the PVC section bar and 5-120 parts of the reinforced lining material, wherein the reinforced lining material is prepared from the following components in parts by weight: 25-65 parts of a styrene-based copolymer and 30-65 parts of a reinforcing agent. The preparation method comprises the following steps: firstly, preparing the reinforced lining material; co-extruding by adopting a main machine and an auxiliary machine which is vertical to the main machine, wherein the main machine is used for extruding the PVC section bar and the auxiliary machine is used for extruding the reinforced lining material; extruding by the main machine and the secondary machine at the same time; and after molding, cooling and shaping to obtain the self-reinforced profiled bar. The self-reinforced profiled bar disclosed by the invention can avoid a peeling problem of a reinforced lining and the section bar in transportation, installation and utilization processes, and a carbonization problem of the PVC section bar, caused by high-temperature co-extrusion, can be avoided; and the self-reinforced profiled bar has good production stability and molding stability.