The invention discloses a preparation method of composite encapsulation capsules for cigarettes. The method is specifically a composite encapsulation technique in which amphipathic natural high polymer materials directly wrap water or water solution to prepare inner-layer water-wrapping soft capsules, and the inner-layer soft capsules are subjected to thermal encapsulation with high-density multilayer polymeric membranes to isolate the inner-layer soft capsules from the external environment. The method aims to directly wrap the water or water solution with the composite encapsulation capsules and stably store the water or water solution; during external physical squeezing the inner-layer soft capsules break firstly, heat-seal joint parts of the outer membranes break under the action of continuous pressure and internal pressurization air, and accordingly the water and water solution is released. The stable formation process after water balance of the inner-layer water-wrapping soft capsules can be carried out after encapsulation of the multilayer polymeric membranes, so that processing time is shortened, and smoke moisture is increased remarkably by squeezing and breaking the composite encapsulation capsules in filter rods; meanwhile, the composite encapsulation capsules can be used for applying carriers to water-soluble components.