A molding apparatus, a cigarette filter rod and a preparation method thereof are disclosed. The molding apparatus comprises a single-screw extrusion system and a cooling setting system. The single-screw extrusion system comprises a feeder and an extruder. The feeder is arranged on the extruder. The extruder comprises a cylinder. A heater is arranged outside the cylinder. A screw is arranged inside the cylinder, and a mouth mold is arranged at one end of the cylinder. The cooling setting system comprises a round tube and a cooler. The cooler (6) is arranged outside the round tube. One end of the round tube is butted with the mouth mold of the extruder; and multiple groups of grooves are formed on threads of the head of the screw.