The invention provides a preparation method of graphene-coated nano dysprosium oxide. The method comprises the following steps that dysprosium oxide nanoparticles are prepared through a pyrolysis method; 2, dysprosium oxide nanometer columns are prepared through a hydrothermal method; 3, a graphene oxide solution is prepared; 4, the dysprosium oxide nanoparticles and the dysprosium oxide nanometer columns are added into the graphene oxide solution, stirring and filtering are conducted in sequence, filter residues are obtained, and the filter residues are subjected to heat treatment to obtain graphene-coated nano dysprosium oxide. In addition, the invention provides application of graphene-coated nano dysprosium oxide prepared through the method in the process of preparing two-element-doped magnesium diboride superconducting bulk materials. According to the preparation method, the technological method is simple, graphene with high surface area is adopted as a coating, the dysprosium oxide nanoparticles and the dysprosium oxide nanometer columns can be uniformly dispersed on the graphene without generating agglomeration, and the critical current density Jc performance of the two-element-doped magnesium diboride superconducting bulk materials in a low field and a high field can be improved conveniently.