The invention relates to a vehicle-mounted hybrid energy storage system of a railway vehicle and application of the vehicle-mounted hybrid energy storage system. The system comprises a lithium ion battery set module, a super-capacitor set module and a reconstructive type traction current transformer module, and the reconstructive type traction current transformer module comprises a traction current transformer; and a main circuit of the traction current transformer is formed by additionally arranging contractors S1, S2, S3, S4 and S5 and a filter inductor L on a main circuit of a traditional traction current transformer. When a train operates, the super-capacitor set module supplies power for the train through the traction current transformer; when the train pulls in and parks, the traction current transformer is reconstructed into a direct current-direct current transformer through powering on and powering off of the different contractors, and energy is transmitted to the super-capacitor set module from the lithium ion battery set module through the current transformer so as to charge energy needed by operation of a vehicle of a next station. The vehicle-mounted hybrid energy storage system of the railway vehicle does not need extra direct current-direct current transformers, and the manufacturing cost, the space cost, the complex rate and the like of the whole system are reduced.