The invention provides a mercaptan removal catalyst as well as a preparation method and application thereof. The catalyst comprises a carrier, an active component and an oxidizing auxiliary agent heteropoly acid, wherein the carrier is composed of alumina and a rare earth element-modified molecular sieve; the active component is one or more of group IA, IIA, IB, IIB, VIIB or VIII metal oxide. The catalyst provided by the invention can change a pore structure and the adsorption performance of the molecular sieve by modifying the molecular sieve, and enhance the chemical adsorption capacity of the catalyst carrier to the mercaptan so as to be more favorable for adsorbing the mercaptan; meanwhile, the catalyst provided by the invention oxidizes the mercaptan into corresponding disulfide by using the strong oxidizing property of the heteropoly acid and then is adsorbed by the composite carrier, thereby allowing the mercaptan removal catalyst provided by the invention to remove the mercaptan without hydrogenation while reducing the total sulfur content, and achieving the purpose of thoroughly and effectively removing the mercaptan.