The invention discloses a cholesterol-Biotin molecular probe and a preparation method and application thereof. The cholesterol-Biotin molecular probe as shown in a formula (1) is obtained from a cholesterol molecular probe (Azide-probe) as a raw material through hydroxyl groups protection, reduction, Biotin condensation and deprotection reaction. The preparation method has the characteristics of being mild in reaction condition and simple in synthesis method. The invention further discloses an application of the cholesterol-Biotin molecular probe in identification of cholesterol binding protein.