The invention discloses a molecular sieve catalyst for preparation of vinyl by ethanol dehydration. The molecular sieve catalyst is prepared from the following components in percentage by mass: 50% to80% of small-crystal size HZSM-5 molecular sieve with average particle size of 0.3mum to 0.7mum, and the balance of Al2O3 (aluminum oxide) and unavoidable impurities. The invention also discloses a preparation method of the molecular sieve catalyst. The preparation method comprises the following steps of uniformly mixing and stirring the small-crystal size HZSM-5 molecular sieve, a large-pore pseudo-boehmite powder and a sesbania powder, adding an aqueous solution of sodium carboxymethylcellulose, uniformly mixing, extruding into a cylindrical strip, drying and roasting, so as to obtain the molecular sieve catalyst. The invention also discloses application of the molecular sieve catalyst for preparation of vinyl by ethanol dehydration. The molecular sieve catalyst has the advantages thatthe good catalyzing effect can be obtained without modifying; the molecular sieve catalyst is applied into the preparation of vinyl by ethanol dehydration, the conversion rate of ethanol and the selectivity of vinyl are respectively greater than 99% when the center temperature of the bed layer is 235 to 350 DEG C, and the quality purity of the prepared vinyl is higher than 96%.