The invention provides a direct coal liquefaction cycle solvent, a preparation method of the direct coal liquefaction cycle solvent and application of the direct coal liquefaction cycle solvent. The preparation method comprises the steps of S1, carrying out hydrogenation on a mixture of petroleum refining secondary products and direct coal liquefaction oil, and obtaining a hydrogenation product, S2, fractionating the hydrogenation product, and obtaining light distillate oil, medium distillate oil and heavy distillate oil, and S3, mixing the heavy distillate oil with a part of the medium distillate oil, and obtaining the direct coal liquefaction cycle solvent. In the preparation method of the direct coal liquefaction cycle solvent, on one hand, a large amount of arene is contained in the petroleum refining secondary products, the hydrogenation product is rich in components such as tetrahydronaphthalene, therefore, the hydrogen supplying capacity of the direct coal liquefaction cycle solvent can be obviously improved, and the yield of the direct coal liquefaction oil is improved; on the other hand, a part of high-added-value diesel distillate with the boiling range lower than 350 DEG C in the direct coal liquefaction cycle solvent is substituted with the petroleum refining secondary products, the diesel yield is improved, the economical efficiency of the coil liquefaction technology is remarkably improved, and the problem that an existing cycle solvent gets light can be solved.