The invention belongs to the technical field of oil-water separation, and particularly relates to super-hydrophobic nanofiber with a graded coarseness structure. The super-hydrophobic nanofiber comprises a PVDF fiber substrate with corrosion debosses and hydrophobic particles composited on the surface of the PVDF fiber substrate, and the hydrophobic particles are PVDF coated nanoparticles. The invention provides a super-hydrophobic porous nano fibrous membrane containing the nanofiber and a preparation method thereof. The fibrous membrane is a super-hydrophobic membrane and is high in adsorption flux.