The invention discloses coal-based high-density liquid fuel and a preparation method thereof. The preparation method comprises the following steps: S1, contacting coal direct liquefied oil and hydrogen with hydrorefined catalyst to perform a hydrorefining reaction; S2, contacting the reaction effluent in the S1 with a hydrogen cracking catalyst to perform a hydro-upgrading reaction; S3, separatingand fractioning the reaction effluent in the S2 to obtain coal-based high-density liquid fuel, naphtha and diesel fraction. By applying the technical scheme, the coal-based high-density liquid fuel has the yield of 55 percent or more, the density of 0.85g/cm<3> or more and volume calorific value of close to 55 percent or more, and has the characteristics of low sulfur, low nitrogen, low aromatichydrocarbon, rich cycloalkanes, high flash point, high volume specific heat capacity, high thermal stability, good low temperature mobility and corrosion resistance.