The invention discloses a natural sulfide mineral-based material as well as a preparation method and an application thereof. According to the method, a simple one-step anion exchange reaction is employed, and natural metal sulfide minerals are soaked in a Se2-precursor solution to synthesize selenium ion-coated natural sulfide minerals serving as a novel mercury adsorbent; the natural metal sulfide mineral comprises pyrrhotite, pyrite, sphalerite, alabandite, tungstenite and a mixture of the pyrrhotite, pyrite, sphalerite, alabandite and tungstenite. The mercury adsorbent obtained by the invention is used as a mercury removal medium to be in contact with gas-phase elemental mercury in a fixed bed, a fluidized bed or an injection tower, so that the gas-phase elemental mercury is converted into stable mercury sulfide. The preparation method of the natural sulfide mineral-based material is rich in raw material reserve, simple in process and wide in application range; the natural sulfide mineral-based material has extremely high mercury adsorption capacity and adsorption rate, is applied to removal of elemental mercury in a gas phase, and has the advantages of simplicity in operation,high efficiency, environmental friendliness of mercury removal products and the like.