The invention discloses a catalyst with a core-shell structure, a preparation method thereof and a membrane electrode containing the catalyst. The catalyst of the invention can be used for PEM hydrogen production but is not limited thereto. The core-shell structure catalyst of the present invention comprises: Ir x m y o z is the core, the core is crystalline; Ir x m y o z is the shell layer, and the shell layer is a dispersed amorphous structure; wherein, M is selected from Pt, Pd, Au, Sn, Sb, Ti, Mn, Ru, Ni, W, Mo, Nb, Zr, Zn, Ta, Sr elements At least one of them, where x / (x+y+z) is 31.6%-33.3%, and y / (x+y+z) is 0-1.6%. The core-shell structure catalyst of the present invention constructs a shell layer structure on the surface of the noble metal oxide core through the deposition method of ultrasonic treatment to control the pH value, and has a suitable outer layer thickness, and the inner and outer layers work together to make the catalyst have high activity and high stability. .