The invention discloses a refractory brick prepared from Zhundong coal combustion waste residue, and a preparation method of the refractory brick. The refractory brick is prepared from the following raw materials in parts by weight: 50-60 parts of coal slag, 10-20 parts of fused magnesite, 10-20 parts of mullite, 5-10 parts of fly ash, 5-8 parts of cement, 5-8 parts of clay and 1-5 parts of sodium hexametaphosphate. The preparation method concretely comprises the steps of crushing the coal slag and screening the crushed coal slag; after that, weighing the coal slag and other raw materials according to the proportion, evenly mixing, adding water into the mixture and stirring; molding by pouring into a mould, and then demoulding; finally, sintering at the temperature of 1200-1500 DEG C to obtain the refractory brick. By recycling the coal slag, the not only can the waste residue be treated, but also waste is changed into valuable, thus improving the added value of products and realizing the economical and environmental-friendly effect.