The invention relates to an yttrium oxide-tungsten continuous graded material as well as a preparation method thereof and application thereof. The graded material comprises a tungsten layer with thickness being l0, an yttrium oxide layer with thickness being l1 and a transition layer with a tungsten-rich surface and a yttrium oxide-rich surface and thickness being l2, wherein 10 and l1 are independently greater than or equal to 0, and l2 is greater than 0; volume fraction of yttrium oxide at a position z from a tungsten surface in the transition layer is FORMULA as shown in the specification, and volume fraction of tungsten is FORMULA as shown in the specification; l is equal to l0+l2, p is greater than or equal to 0.1, and smaller than or equal to 2.0, and z is greater than or equal to l0 and smaller than or equal to l. The preparation method for the yttrium oxide-tungsten continuous graded material preferably adopts a free settling mode for combining a cold-press molding process with a sintering process to form the transition layer. The invention further provides application of the graded material in manufacturing a crucible and the like. The graded material has the performances such as high thermal conductivity, high density, a low heat expansion coefficient, excellent corrosion resistance, excellent thermal shock resistance and smelted metal non-wetting performance, can be widely applied to the fields of metal smelting, fine purifying and the like. The preparation method has the advantages of being simple in process, short in period, low in cost, easy to operate, and the like.