The invention mainly relates to the coating technique, in particular to a gradient MCrAlY coating used for protecting high-temperature alloy and a preparation method thereof. The invention prepares an MCrAlY composite gradient coating by adopting the method combining the arc ion plating (AIP) and the diffusion aluminizing. The thickness of an aluminum-rich layer on the surface of the MCrAlY composite coating can be controlled by setting the aluminizing temperature and the period of heat preservation and the Al elements are distributed in a gradient way along the depth direction; in addition, the chemical vapor deposition method used for the aluminizing has the advantages of good uniformity on the aluminum-rich layer and being not affected by the size and shape of a sample. Since the method of direct diffusion is adopted without introducing a weak interface, the MCrAlY high-temperature protective coating can increase the content of Al memory phase to the utmost extent under the condition that the mechanical property of the coating is guaranteed, so as to improve the high-temperature oxidization resistance and the heat corrosion resistance of the coating, and can effectively prolong the service life of the coating. The MCrAlY composite gradient coating and the preparation method of the invention can be applied to the protection of Ni-based and Co-based high-temperature alloys.