The invention provides a PEGlated lipid material, and a preparation method and an application thereof. The material has a structure represented by formula (I). The material has oxidation responsiveness, and can be used as a drug carrier. An experiment result shows that the material is amphiphilic, undergoes phenylboronate oxidation removal in the presence of H2O2, and further undergoes a quinine-methide rearrangement reaction to realize the dissociation of a hydrophilic chain segment and a hydrophobic chain segment of the PEGlated lipid material; and the material entraps celecoxib and is self-assembled to form nano-micelles, the particle size of nano-particles is about 90 nm, and the hydrodynamic radius of the nano-micelles is 41.5-44.5 nm; and the entrapping rate is 54%, and the drug loading capacity is 5.4%.