The invention relates to a carbon fiber-molybdenum selenide nanosheet core-shell composite structure and preparation method thereof, and belongs to the technical field of material preparation. A core of the composite structure is carbon fibers, and a shell of the composite structure is array-shaped molybdenum selenide nanosheets. The method comprises the steps that in a vacuum tube furnace, selenium powder is directly evaporated through a thermal evaporation technology, under the action of carrier gas, pre-oxidized polyacrylonitrile fiber soaked with MoO3 suspension is fumigated at high temperature, the condition that the carbon fibers and the molybdenum selenide nanosheets are synthesized simultaneously is achieved, and the arbon fiber-molybdenum selenide nanosheet core-shell composite structure can be obtained through high-yield preparation. Products prepared through the method is high in yield, density and purity, controllable in morphology and free of after-treatment; the method has the advantages of being simple in equipment and technology, strict and controllable in synthetic growth condition, high in product yield, low in cost, clean and environmentally friendly in production process and the like. The obtained material is an excellent visible light catalyst, an electro-catalyst, a sodium-ion/lithium-ion anode material and a light-emitting transistor material.