The invention discloses a modified alumina supporter, a preparation method of the modified alumina supporter, and a supported hydrofining catalyst. The modified alumina supporter comprises a Ce(l-x)MxO(2-delta) composite oxide, graphene and/or carbon black and alumina, wherein the graphene and/or carbon black is doped in an alumina bulk phase, the Ce(l-x)MxO(2-delta) composite oxide is loaded on the surface of the graphene and/or carbon black doped alumina; M is one or more of Mn, Fe, Co, Ni, Cu, Zr, Nb, Bi or Sn in the Ce(l-x)MxO(2-delta) composite oxide; x is more than or equal to 0.02 and less than or equal to 0.98, and delta is more than or equal to 0 and less than or equal to 0.5. The preparation method of the modified alumina supporter is as follows: adding the graphene and/or carbonblack in the gel forming process of alumina, then loading a Ce(l-x)MxO(2-delta) sol on the alumina comprising the graphene and/or carbon black, drying and roasting to obtain the modified alumina supporter. A hydrofining active component is loaded on the supporter to obtain the catalyst. The supported hydrofining catalyst is applied to the hydrofining reaction of distillate oil, and is particularly suitable for the hydrofining reaction of straight run diesel oil, coker diesel, catalytic diesel oil, or an oil mixture of the straight run diesel oil, the coker diesel and the catalytic diesel oil.