The invention relates to ultrafine ZrO2/SiC composite continuous fiber and a preparation method and application thereof. The preparation method comprises the following steps that glycerol and chlorotrimethylsilane are dropwise added into dimethyldichlorosilance, then reaction metal and dimethyl benzene are added, then heating is conducted until the reaction metal is melt into a liquid state and turns purple, cooling and filtering are conducted, then drying, grinding to powder and heating are conducted, phenol and formaldehyde are added, and methyl hydroxybenzene is obtained; a zirconium oxychloride hybrid solution is dissolved in ethyl alcohol, B phthalein acetone is added, a zirconium-containing complex is obtained and added into the methyl hydroxybenzene, ZrC precursor polymer methyl hydroxybenzene B phthalein zirconium is obtained; and a melt spinning method is adopted, and the ultrafine ZrO2/SiC composite continuous fiber is obtained. According to the ultrafine ZrO2/SiC composite continuous fiber, the raw materials used in preparation is easy to obtain, the costs of the raw materials are low, the technology is simple, the comprehensive performance of the obtained ultrafine ZrO2/SiC composite continuous fiber is good, and the ultrafine ZrO2/SiC composite continuous fiber is suitable for manufacturing core parts for spaceflight thermal protection.