The invention relates to an unsaturated aldehyde catalyst prepared by oxidizing olefin and a preparation method thereof, and mainly solves the problems of low reaction yield and selectivity of target products unsaturated aldehyde and unsaturated acid in the prior art. The catalyst takes at least one of SiO2 and Al2O3 as a carrier, and contains active ingredients shown as a formula Mo12BiaFebNicXdYeZfQqOx, wherein X is at least one of Mg, Co, Ca, Be, Cu, Zn, Pb and Mn; Y is at least one of Zr, Nb and Ti; Z is at least one of K, Rb, Na, Li, Cr, Tl and Cs; and Q is at least one of La, Ce, Sm andTh. Through the technical scheme, the catalyst and the preparation method thereof well solve the problems and can be used for the industrial production of acrolein or methacrolein prepared by oxidizing propylene or isobutylene.