The invention discloses a preparation method of an Fe4[Fe(CN)6]3@Co3[Co(CN)6]2 composite material and an application of the Fe4[Fe(CN)6]3@Co3[Co(CN)6]2 composite material. The method disclosed by the invention comprises the following steps: dissolving potassium ferricyanide (II) and tripotassium hexacyanocobaltate (III) into a hydrochloric acid solution, stirring the solution evenly, and transferring the solution into a stainless steel reaction kettle employing polytetrafluoroethylene as a liner; and slowly heating the solution from room temperature, and carrying out heat preservation and separating, washing and drying treatment, so as to obtain the Fe4[Fe(CN)6]3@Co3[Co(CN)6]2 composite material, wherein the mass ratio of Fe4[Fe(CN)6]3 to Co3[Co(CN)6]2 is (1:0.5) to (1:2). When the composite material is used as a lithium-ion battery anode material, the battery has relatively high charge-discharge specific capacity (783.7mAh/g) when charging and discharging at the current density of 100mA/g, and is excellent in cycle performance.