The invention relates to a copolyester melt direct-spinning controllable multiple differential shrinkage composite fiber and a preparation method thereof. Terephthalic acid and ethylene glycol serve as raw materials, a third component of polyethylene glycol, a fourth component of diethylene glycol and a fifth component of pentaerythritol are added for copolymerization, a copolyester melt is prepared, pressurized through a melt pipeline and a pressurizing pump, conveyed to a spinning box, divided into two ways through two metering pumps, sent into a spinning assembly and a spinneret plate for extrusion and cooled and solidified to form two bundles of yarn, FDY (fully drawn yarn) is obtained after oiling wheel oiling, pre-interlacing, drawing and heat setting of one of the two bundles of yarn, the other bundle of yarn is oiled through an oil spraying nozzle and then led to two yarn guiding disks to obtain POY (polyester pre-oriented yarn), the FDY and the POY are input into a yarn doubling device and a main interlacing device simultaneously for composition, and the composite fiber is obtained after ultra-high-speed winding molding. The composite fiber adopts the better fine three-dimensional multi-layer structure and is large in potential controllable hot-shrinkage rate difference, good in fluffiness, hygroscopicity, air permeability, moisture retention, chromaticity and high color rendering uniformity, multiple in product function and high in additional value.