The invention discloses a supported catalyst, and a preparation method and an application thereof. The catalyst comprises: a) a porous carrier; b) a pore outer active component loaded on the outer surface of the porous carrier and a pore inner active component loaded on the inner surface of the porous channel of the porous carrier; and c) an inert component silicon deposited on the outer surface of the porous support. The catalyst prepared in the invention is suitable for catalyzing a two-step cascade reaction, is particularly suitable for catalyzing a reaction for generating citral from acetal in the citral preparation process, so that the reaction can be efficiently carried out in one reactor, and the production cost and the operation difficulty are greatly reduced.