The invention relates to an anti-oil and fire-retardant chlorinated polyethylene sheath material with good weather resistance and a preparation method thereof. The sheath material uses chlorinated polyethylene rubber as main raw material and adds chlorosulfonated polyethylene rubber, triallyl isocyanurate, 1,3-bis (tert-butyl peroxide isopropyl) benzene, trioctyl trimellitate, carbon black, antioxidant 1010, ultra-fine talc powder, antimony trioxide, and high-activity magnesium oxide R-150 according to ratios; the preparation method is as follows: at first, mixing part of the auxiliary agents, then mediating, internal mixing, open mixing, granulating and extruding are carried out on the mixture to form cables, thus the cables are obtained. In the formula, high temperature resistant plasticizer is utilized, various auxiliary agents with appropriate proportions are added into the formula, so that chlorinated polyethylene rubber cable material can reach a high temperature of 105 DEG C, and can be used at the lowest temperature of minus 50 DEG C. The sheath material has the advantages of good anti-aging property, excellent electrical insulation and mechanical property, environmental protection and high flame resistance, thereby being suitable for cold and oil-contaminated severe environment and transmission and distribution circuits of which the current-carrying capacities are large and the rated voltages are at or below 450/750V. Meanwhile, compared with traditional chloroprene rubber cable material, the sheath material has the characteristics of low cost, fast extruding speed and high output benefit.