The invention discloses a catalyst for treating coal chemical high salinity wastewater and a preparation method thereof. The method comprises the following steps: (1) adding adhesive into alumina powder, and granulating to obtain a catalyst kernel; (2) adding alumina powder, a metal salt solution, a pore-forming material and adhesive into the catalyst kernel, and granulating to obtain a catalyst molded sphere of which the catalyst kernel is coated with a coating layer; (3) drying and roasting the catalyst molded sphere; and (4) hydrophobically modifying the surface of the roasted catalyst molded sphere to obtain the catalyst for treating the coal chemical high salinity wastewater. The catalyst is prepared from multiple metal oxides as main active components and has the surface with hydrophobic property, and can be used for effectively preventing adsorption of Cl<->, SO4<2-> and other anions in high-concentration brine and improving the removing efficiency of catalytic activity and organic matters.