The invention belongs to the field of comprehensive utilization of solid waste resource, and especially relates to an ultrafine slag powder, and a preparation method and application thereof. Vertical-milling grinding and two stages of sorting technologies are combined, a slag pre-grinded material subjected to vertical milling is subjected to a first stage of grading processing, so that a mineral powder with the specific surface area according with a requirement is sorted out, and unqualified slag crude powder falls into a vertical mill for grinding. The slag powder according with the requirement is subjected to a second stage of grading processing, so that a slag powder with the particle size of 20 mu m or less is sorted out, overly grinding phenomenon is avoided, and energy consumption and cost are reduced. The prepared slag powder has relatively high activity, can be applied to concrete as a mineral doping material, is capable of reducing the cost of concrete and concrete products, increasing the strength of concrete and improving the endurance of concrete, and also is applicable to production of pipe sheets and pipe piles. After the concrete is doped with the ultrafine slag powder, the doping amount of a cementing material can be properly reduced, and thus the purpose of saving energy and reducing cost and improving effect are realized.