The invention discloses a combined cooling, heating and power supply system based on gradient utilization and deep recovery of waste heat. The combined cooling, heating and power supply system comprises a gas engine, wherein a flue gas outlet of the gas engine is divided into a first flue gas pipeline and a second flue gas pipeline. The first flue gas pipeline is connected with a temperature difference power generation device. Flue gas in the first flue gas pipeline is used for driving the temperature difference power generation device to realize thermoelectric conversion. A flue gas outlet of the temperature difference power generation device is connected with a flue gas inlet of a flue gas condensation heat exchanger. The second flue gas pipeline is connected with a flue gas lithium bromide absorption heat pump. Flue gas in the second flue gas pipeline is used for driving the double-effect flue gas lithium bromide absorption heat pump to realize refrigeration or heating. The flue gas outlet connected with the double-effect flue gas lithium bromide absorption heat pump is connected with the flue gas inlet of the flue gas condensation heat exchanger. The flue gas condensation heat exchanger is connected with the external environment. By means of the combined cooling, heating and power supply system based on gradient utilization and deep recovery of the waste heat, the flue gas waste heat with a high temperature can be converted into electric energy, and therefore waste of the flue gas waste heat can be reduced when cold loads or hot loads are insufficient.