The invention discloses a fine ferric oxide desulfurizing agent and a preparation method and an application method thereof. The fine ferric oxide desulfurizing agent is prepared from ferrous sulfate septihydrate, calcium hydroxide, copper sulfate pentahydrate, sodium hydroxide, bentonite and sodium carboxymethylcellulose through mixing, strip extrusion and drying, and comprises, by mass, 57%-68% of ferrous sulfate septihydrate, 18%-25% of calcium hydroxide, 3%-8% of copper sulfate pentahydrate, 6.5%-18% of sodium hydroxide, 3%-10% of bentonite and 1%-3% of sodium carboxymethylcellulose. The fine ferric oxide desulfurizing agent is applied to removal of natural gas, coke-oven gas, oil field gas, synthesis gas, methane, carbon dioxide and organic sulfur such as H2S, COS and mercaptan in liquid hydrocarbon feed gas under the normal-temperature anaerobic condition and is high in desulfurization precision and sulfur capacity. The environment-friendly fine ferric oxide desulfurizing agent is prepared without washing and filtering, and the preparation method has the advantages of simple production technology, low equipment investment and maintenance cost and suitability for large-scale industrial production.