The invention discloses a zirconium/magnesium oxide grain refiner and a preparation method and application thereof, and belongs to the technical field of nonferrous metals. The grain refiner has a typical shell-core structure (a zirconium element serves as a shell, and magnesium oxide serves as a core), and particle size distribution is uniform. The specific preparation method comprises the following steps: heating pure magnesium until the pure magnesium is in a semi-solidified state under the protection of sulfur hexafluoride/nitrogen mixed gas; adding magnesium oxide powder, stirring, and uniformly blending the magnesium oxide powder in magnesium liquid which is in the semi-solidified state; and increasing furnace temperature until the magnesium liquid is fused completely, adding magnesium-zirconium intermediate alloy, after high-temperature standing, pouring into an iron casting die, and casting to obtain a targeted product. The grain refiner is suitable for pure magnesium, aluminum-containing magnesium alloy and zinc-containing magnesium alloy, and the refining effect is obvious; and meanwhile, the grain refiner adding process is simple, the utilization rate of a zirconium element is high, and therefore, the zirconium/magnesium oxide grain refiner is suitable for industrial production.