Provided are a coated magnetic abrasive particle and a preparation method thereof. The iron ion based molar ratio of iron dichloride to ferric chloride of the coated magnetic abrasive particle is 1 to 1-3, the molar ratio of Fe ions to ammonia water ammonia ions is 1 to 2-7, the mass ratio of ferroferric oxide to a modifying agent is 1 to 5, an ethyl alcohol-water solution is prepared according to the ethyl alcohol-water proportion of 1 to 5, and the volume ratio of tetraethoxysilane to the solution is 1 to 20-30. Preparation is performed according to the volume ratio of ammonia water to the solution. The preparation method comprises the preparation steps that 1, the iron dichloride, the ferric chloride, the ammonia water, the modifying agent, ethyl alcohol, the tetraethoxysilane and distilled water are weighed; 2, the distilled water and the ferric chloride and the iron dichloride are mixed and prepared into a solution; 3, the ammonia water is added for stirring; 4, drying is performed; 5, a drying product, an activator and distilled water are prepared into a solution, and dispersion is performed; 6, the alcohol-water solution is added for stirring; 7, the tetraethoxysilane is dropwise added; 8, the ammonia water is dropwise added and is stirred; 9, drying is performed after product suction filtration. The coated magnetic abrasive particle is low in cost and easy to recover.