The invention provides a polydopamine multi-level nano-drug carrier, and a preparation method and an application thereof. The preparation method comprises the following steps: S1, uniformly mixing ethanol, ultrapure water and ammonia water, then adding a dopamine hydrochloride solution, carrying out stirring at a room temperature for 25-35 h, and centrifugally collecting precipitates so as to obtain PDA microspheres with a particle size of about 120-350 nm; S2, dissolving the PDA microspheres prepared in the step S1 into ethanol, then adding ferric acetylacetonate and polyol, raising the temperature of the solution to 65-75 DEG C under a vacuum condition, keeping the temperature for 15-30 min so as to remove the ethanol, introducing nitrogen, carrying out heating to 200-220 DEG C, carryingout stirring for 2 h, continuing heating to 280-290 DEG C, carrying out stirring for 50-70 min, carrying out cooling to a room temperature, adding isopyknic acetone, carrying out separating with a magnet, and carrying out washing with ethanol so as to obtain PDA@IOs microspheres; and S3, dispersing the PDA@IOs microspheres obtained in the step S3 into a Tris-HCl buffer solution with a pH value of8-9, and carrying out stirring for 22-26 h so as to obtain the polydopamine multi-level nano-drug carrier, namely PDA@IOs@PDA nanometer microspheres. The nanometer microspheres have metal affinity, good magnetic response and high photo-thermal conversion efficiency.