The invention discloses a graphene composite aluminium oxide ceramic nano-filtration membrane, a filter, and a preparation method and application thereof. The nano-composite filtration membrane comprises an aluminium oxide ceramic membrane and a graphene layer which is positioned on at least one side surface of the aluminium oxide ceramic membrane; the pore size of the nano-composite filtration membrane is about 1 to 2 nm. The nano-composite filtration membrane provided by the invention has high hydrophobicity, high flux and high retention rate; moreover, the pores of the membrane cannot be blocked; water molecules can be effectively retained; the nano-composite filtration membrane is fouling resistant and easy to clean. The filter prepared by the filtration membrane is particularly suitable for separating water from ethyl alcohol; in addition, the preparation method of the nano-composite filtration membrane provided by the invention is easy to operate, convenient and practical.