The invention discloses a composite nanofiltration membrane, a preparation method thereof and an application of the composite nanofiltration membrane prepared with the preparation method in the field of water treatment. The composite nanofiltration membrane comprises a support layer and a separation layer which are superposed, wherein the separation layer is an initial composite nanofiltration membrane having a cross-linked structure and located on the surface of the support layer after a thermo-crosslinking reaction of hydroxyl-terminated polydimethylsiloxane, tetraethoxysilane and a sulfhydryl-containing silane coupling agent, then the initial composite nanofiltration membrane is subjected to aftertreatment in hydrogen peroxide, and the composite nanofiltration membrane is obtained. The initial composite nanofiltration membrane is subjected to aftertreatment modification with hydrogen peroxide, sulfhydryl can be oxidized into sulfonyl, the hydrophilic composite nanofiltration membrane is obtained, and the water flux and the salt rejection of the composite nanofiltration membrane are further increased.