The invention discloses a composite nanoparticle with calcium fluoride coated with aluminum oxide and a preparation method thereof. The preparation method comprises the following steps of (1) mixing polyvinylpyrrolidone and ethyl alcohol according to a certain ratio, stirring, adding xylene, uniformly mixing, and separating into two parts, namely a solution B and a solution C; (2) adding nanometercalcium fluoride powder into the solution B under the stirring condition, and uniformly dispersing, so as to obtain a solution B'; adding aluminum nitrate into the solution C, and uniformly mixing, so as to obtain a solution C'; (3) mixing the solution B' and the solution C', slowly adding an ammonium hydroxide and ethyl alcohol mixed solution until the pH (potential of hydrogen) value of the solution is 7 to 12, continuing to stir until reaction is finished, standing and aging the obtained product, centrifuging and separating a solid product, heating and dewatering, so as to obtain the composite nanoparticle with calcium fluoride coated with aluminum oxide. The preparation method has the characteristics that the technology is simple, and the cost is low. The prepared nanometer compositepowder has the advantages that the dispersivity is better, the coating effect is better, the coating rate is higher, the particle size is uniform, and the surface characteristic of the calcium fluoride particle is well improved.