The invention provides hydrogel capable of loading a high-hydrophobicity drug as well as a preparation method and application of the hydrogel, which belongs to the technical field of preparation of high polymer materials. The preparation method comprises the following steps of firstly, preparing cyclodextrin-terminated polyurethane (DPU) with a side chain containing double bonds, and carrying out click chemical crosslinking on a multi-sulfhydryl compound and the double bonds to form the polyurethane hydrogel. The inner cavity of cyclodextrin is hydrophobic, the outer edge of the cyclodextrin is hydrophilic, and a hydrophobic binding site can be provided, so that the cyclodextrin molecular cavity in the polyurethane hydrogel can be subjected to non-covalent binding with a high-hydrophobicity drug, the loading of the high-hydrophobicity drug is realized, the gel is very stable in vitro, and under the action of an in-vivo enzyme, the cyclodextrin polysaccharide is gradually degraded, so that the combined medicine is released, the hydrogel capable of loading the high-hydrophobicity drug is successfully prepared, and the hydrogel has a good practical application value.