The invention provides polymethacrylimide foam/inorganic nano-composite material and a preparation method thereof. The composite material takes polymethacrylimide as a base body and inorganic nano-material as reinforcing material. The preparation method is as follows: high-speed stirring and power ultrasound are used to evenly disperse the inorganic nano-material into a system of methacrylic acid, methacrylamide and methacrylonitrile monomers containing auxiliary agents such as evocating agent, vesicant, polymerization inhibitor, cross linker, surfactant, parting agent and so on, the evocating agent evocates copolymerization under certain conditions to form methacrylic acid-methacrylamide-methacrylonitrile copolymer/inorganic nano-composite material with light crosslinking, and the composite material undergoes temperature rising with certain procedures, is foamed at a high temperature and produces an imide ring reaction to produce the polymethacrylimide foam/inorganic nano-composite material. The inorganic nano-material is added, so the mechanical property and the heat resistance of the composite material are apparently improved.