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 adopts a method combining the arc ion plating (AIP) co-deposition and the vacuum diffusion annealing to prepare an MCrAlY coating with the Al element concentration distributed along the depth direction in a gradient way. Compared with the existing conventional MCrAlY high-temperature protective coating, the gradient MCrAlY coating of the invention effectively increases the content of Al memory phase in the coating, 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 gradient coating and the preparation method of the invention can be applied to the protection of Ni-based and Co-based high-temperature alloys.