The invention discloses a magnetic heterostructure fiber, and a preparation method and application thereof. The fiber has a porous heterostructure, and the core of the fiber is ferroferric oxide assembled by nanocrystals and the surface of the fiber is coated by nickel nanocrystal; and the fiber length is 0.57-2.18 [mu]m, the diameter is 0.07-0.73 [mu]m, the nickel/iron atom ratio is 0:100-28.88:71.12, and the saturation magnetization is high (75.243-86.442emu/g). The fiber is prepared by using precipitation-precipitation transfer method-carbothermic reduction technology. The inventive method is simple in operation, good in controllability and repeatability, novel in formation mechanism, low in equipment requirements, low in cost and high in efficiency, and easy to promote industrial applications. The magnetic heterostructure fiber has the characteristics of porous structure, adjustable size and composition and strong magnetic responsiveness, and important application prospects in the fields of catalysts, electrode materials, magnetic recording materials, magnetic sensors, detection, microwave absorption, etc.