The invention discloses a FeS2-RGO composite material, a preparation method and application. The FeS2-RGO composite material is prepared by the following steps: oxidized graphene is dissolved in DMF, then, is added in water solution of iron nitrate nonahydrate and thioacetamide in sequence, and is stirred overnight at a temperature of 85-95 DEG C; and the oxidized graphene is reduced through a hydrothermal reaction for centrifugation, washing and freeze drying to calcine under hydrogen to prepare the FeS2-RGO composite material. The FeS2-RGO composite material can be used for electrocatalytic hydrogen evolution; and as the raw material cost is low, the preparation method is simple, the hydrogen evolution performance is good, and the catalyst stability is high, the difficulty of difficult development to industrialization due to high hydrogen preparation cost in the prior art is preferably solved.