A polymer ultrafiltration membrane with a bicontinuous highly interconnected porous structure, a preparation method and applications thereof are provided. The ultrafiltration membrane has a bottom layer and a polymer layer. The polymer layer is divided into a sublayer and a surface layer. The surface layer is of a uniform small pore structure with a narrow pore size distribution. The sublayer is of a bicontinuous highly interconnected three-dimensional network porous structure. The bicontinuous highly interconnected porous structure of the bicontinuous highly interconnected porous ultrafiltration membrane is characterized as follows: in the thickness direction of the sublayer, the cross-sectional porosity on any XY cross-section perpendicular to the thickness direction is 40-90%, preferably 60-90%, and further preferably 70-90%; and the difference in the cross-sectional porosities between any two XY cross-sections does not exceed 10%, preferably not exceed 8%, and also preferably not exceed 5%.