The invention discloses a Na2Fe2(SO4)3@alumina composite material having a core-shell structure and a preparation method and an application thereof. The material is a composite material having the core-shell structure and prepared by coating the surface of Na2Fe2(SO4)3 particles with alumina. The Na2Fe2(SO4)3 is pyrolytically coated with an organic aluminum salt, the problems that Na2Fe2(SO4)3 is dissolved in water and is difficultly coated by alumina via a traditional hydrolysis method are overcome, the synthesis method is simple, conditions are mild, and the yield is high; the prepared composite material can effectively suppress a 'surface poisoning effect' of the material, and has the advantages of high specific capacity, high work voltage, good cyclic stability and excellent rate performance when applied as a sodium ion battery positive electrode material.