The invention relates to a Fischer-Tropsch synthesis catalyst, its preparation method and an application thereof. The catalyst comprises the following main components: Fe, a metal auxiliary component W, a Cu auxiliary agent, an alkaline auxiliary agent selected from Li, Na, K, Mg, Ca, Rb and Cs, and a structural promoter which contains at least one ingredient or any combination selected from SiO2, active carbon, Al2O3, ZrO2 and TiO2. The specific surface area of the catalyst provided by the invention is usually 50-240 m<2>/g. The catalyst can be prepared by a sol-gel method, a coprecipitation method, an immersion method or any combination of the above preparation methods, but preferably by a parallel flow precipitation method. The catalyst provided by the invention can be used in high selectivity production of hydrocarbons, oxygen-containing compounds and the like through Fischer-Tropsch synthesis of synthetic gas. its reaction activity and stability are obviously improved. And selectivity of light olefins in the Fischer-Tropsch synthesis product hydrocarbon is obviously raised.