The invention relates to the field of drilling of petroleum industry, in particular to a film-forming agent suitable for coal bed methane drilling, a preparation method thereof, drilling liquid and application. The preparation method of the film-forming agent comprises the following steps: (1) under the existence of a polyurethane catalyst, performing first polymerization reaction on polycaprolactone glycol and diisocyanate to obtain a polyurethane prepolymer with two ends sealed by diisocyanate; (2) performing chain-extending reaction on the product of the first polymerization reaction and polyalcohol; (3) performing addition reaction on the product of the chain-extending reaction and part of acrylic acid hydroxyl alkyl ester monomer, introducing the other part of acrylic acid hydroxyl alkyl ester monomer and a styrene monomer, and emulsifying in water to obtain emulsion; and (4) mixing a radical initiator and the emulsion and performing second polymerization reaction. The film-forming agent provided by the invention enables a drilling liquid system to have high film-forming property on the surface of rock, and is favorable for protection of a coal bed methane reservoir.