The invention discloses a multilayer core-shell structured silicon-iron soft magnetic composite powder and a preparation method thereof, and belongs to the technical field of soft magnetic composite powder. The composite powder comprises an internal core and a shell, wherein the shell wraps an outer layer of the internal core, the internal core is silicon-iron soft magnetic particles, Fe3Si wraps an outer layer of the soft magnetic particles, and a SiO2 insulation layer wraps the Fe3Si. The preparation method of the composite powder comprises the steps of uniformly mixing silicon-iron alloy powder and nanometer silicon powder, placing the mixture in a furnace isolated with oxygen for heat preservation for 1-5 hours at 900-1,150 DEG C, and cooling the mixture to a room temperature with the furnace; and finally, placing the mixture in a rotary tubular furnace, performing heat preservation for 0.5-2 hours at 200-450 DEG C under an oxidization atmosphere, and cooling the product with the furnace, thereby obtaining the multilayer core-shell structured silicon-iron soft magnetic composite powder. The preparation method has the advantages of simple process, short period and low cost, the prepared silicon-iron soft magnetic composite powder has relatively high resistivity and favorable thermal stability, and is lower in iron loss and longer in service lifetime.