The invention relates to a composite material and a preparation method thereof, and can be widely applied to the fields of batteries, environmental protection, adsorptive dehumidification, air conditioning, refrigeration, heat pumps, pressure-variable separation purification, hydrogen storage production and the like. The composite material comprises a supporting framework material, carbon microspheres and/or a carbon film and a loading material, the loading material comprises salt, an electrode material and a physical adsorbent, the carbon microspheres and/or the carbon film are/is firmly attached to the wall surfaces of pores in the supporting framework material, and the loading material is uniformly distributed inside the carbon microspheres and/or the carbon film, so that direct embedment of the loading material between carbon atoms is achieved, the anti-agglomeration inactivation capacity is obviously enhanced, and the service life is effectively prolonged; the composite material breaks through a limitation of the specific surface area of the original skeleton material, so that the specific surface area of the composite material can be effectively increased under the premise ofincreasing the loading capacity, and the adsorption, reaction or electron migration rate can be increased; the composite material conveniently achieves close contact between the adsorbent and a heat-exchanging wall surface by an extruding, bonding or brazing method, so that the contact heat resistance between the two is effectively reduced.