The invention discloses a three-dimensional self-supporting composite structure electrode, a preparation method thereof and a lithium air battery. The preparation method of the three-dimensional self-supporting composite structure electrode comprises the following steps: firstly, cutting a polyurethane sponge material into a required shape, and then carrying out carbonization treatment; immersingthe carbonized polyurethane sponge into the graphene oxide solution, taking out and drying; and soaking the dried material in a catalyst solution, taking out, airing, and carrying out low-temperaturereduction to obtain the three-dimensional self-supporting composite structure electrode. According to the composite structure electrode, fibers of carbonized polyurethane sponge serve as a framework and serve as an integral conductive network, the outer surfaces and gaps of the fibers of the carbonized polyurethane sponge are wrapped and filled with reduced graphene oxide and a catalyst, so that the conductivity and the specific surface area of the electrode are increased, and a large number of active sites are provided for reaction. The electrode does not contain a binder and can effectivelyprevent side reactions in the charging and discharging process of the battery, so that the energy density of the battery is improved.