The present invention provides a coating inorganic fiber toughened MAX phase ceramic composite material and a preparation method thereof. The composite material adopts a MAX phase ceramic material as a matrix and adopts coating inorganic fibers as a toughening phase, wherein the coating inorganic fiber content is 0.5-90% (by volume), and the coating inorganic fibers are completely dispersed in the matrix and are inorganic fibers with the surface coated with the coating. Compared with the composite material in the prior art, the composite material of the present invention has the following characteristics that: the interface reaction between the inorganic fibers and the MAX phase ceramic can be effectively inhibited, the thermal expansion coefficient and elasticity modulus matching degree between the inorganic fibers and the MAX phase ceramic can be effective regulated, the effective improvement of the fracture toughness and the high temperature resistance of the MAX phase ceramic composite material can be achieved, the problems of high brittleness and insufficient use reliability of the MAX phase ceramic can be fundamentally solved, and the coating inorganic fiber toughened MAX phase ceramic composite material has potential application prospects in the high technology fields of civil use, aviation, aerospace, nuclear industry and the like, and is especially for the fission and fusion reactor nuclear power plant inner wall structure material.