The invention discloses a composite with a hollow core-shell structure as well as a preparation method and an application of the composite. The preparation method comprises the following steps: dissolving a sublimation polymer or decomposing polymer in a solvent and stirring the mixture for 1-2 h to obtain a polymer solution; adding inorganic nanoparticles to the polymer solution, and performing stirring or ball milling for 24 hours or longer to obtain polymer-coated inorganic nanoparticles; preparing a polymerization reaction system containing the polymer-coated inorganic nanoparticles, a conductive polymer monomer and an initiator for polymerization reaction to obtain a composite coated with two layers of different polymers; placing the composite in an inert atmosphere for thermal treatment to obtain the inorganic nanoparticle/carbon composite with the hollow structure. According to the composite, the hollow core-shell structure is constructed with a one-step carbon-thermal method on the basis of the difference of thermal stability of the polymers. Therefore, the volume effect of the inorganic nanoparticles is relieved, and the material structure is kept intact.