Provided by the present invention is a magnesium-antimony-based (Mg—Sb-based) thermoelenient, preparation method and application thereof. The Mg—Sb-based. thermoelement comprises: a substrate layer of a Mg—Sb-based. thermoelectric material positioned in the center of the thermoelement, transitional layers that are attached to the two surfaces of the substrate layer, and two electrode layer that are respectively attached to the surfaces of the two transitional layers; the transitional layers are made of a magnesium-copper alloy and/or magnesium-aluminum alloy, and the electrode layer is made of copper. The transitional layer and the electrode layer which are developed in the present invention and which are suitable for a Mg—Sb-based thermoelectric material have great significance and prospects in application. The electrode layer enable the Mg—Sb-based thermoelectric material to have an opportunity to enter the market and realize commercialization. Compared with the existing bismuth telluride thermoelectric devices in the market, the thermoelectric device prepared has lower costs, may simultaneously save the rare element tellurium, and is beneficial in saving energy and protecting the environmental.