The invention discloses a compound desulfurization adsorbent and a preparation method thereof. The compound desulfurization adsorbent is prepared from 100 parts by weight of modified mesoporous molecular sieve, 50 to 80 parts by weight of modified microporous molecular sieve, 20 to 30 parts by weight of aluminum oxide and 15 to 30 parts by weight of nitric acid solution. The preparation method comprises the following steps: uniformly mixing the modified mesoporous molecular sieve, the modified microporous molecular sieve, the aluminum oxide and the nitric acid solution, carrying out extrusionforming to obtain particles and curing at the room temperature; drying the cured particles and carrying out high-temperature activated roasting to obtain the compound desulfurization adsorbent. The application also provides application of the compound desulfurization adsorbent in removing sulfide in sulfur-containing substances. The compound desulfurization adsorbent disclosed by the application can effectively remove various sulfides in the sulfur-containing substances and simplifies the desulfurization process; in addition, the preparation method has the advantages of simple preparation process, easiness in raw material obtaining and lower cost.