The invention discloses a loaded type Fe-Zn/CNTs catalyst and its preparation method. The catalyst is composed of active metal Fe, Zn and a carbon nanotube carrier; by referring to the weight of the carbon nanotube, the total mass percent of Fe and Zn is 10-25%, wherein the mole ratio of Fe and Zn is 0.5: 1-1.5: 1. The catalyst is prepared by performing inorganic acid treatment on the carbon nanotube under the ultrasound condition, and then washing and drying the carbon nanotube; preparing a mixed solution containing Fe, Zn and urea; introducing the prepared mixed solution to a treated carbon nanotube carrier; after pressurizing and immersing, heating up the carbon nanotube; and then drying and roasting the carbon nanotube to obtain the catalyst. The catalyst is applicable to reaction of olefin directly prepared by synthesis gas; the catalyst can greatly reduce the CH4 selectivity and improve the selectivity of C2-C4 olefin; the catalyst activity is good.