The invention relates to the preparation of a catalytic material, and aims to provide a method for preparing a zeolite socony mobile-5 (ZSM-5) molecular sieve membrane reactor loaded with a Cu / stainless steel screen mesh catalyst. The method comprises the following steps of: pretreating a stainless steel screen mesh, and immersing into H2SO4 electrolyte solution to perform anodic oxidation treatment, so that a porous structure is formed on the surface of the stainless steel screen mesh; electrodepositing a Cu component on the surface of the stainless steel screen mesh; adding deionized water into a template agent, stirring at room temperature, and putting into a crystallization kettle, and immersing the Cu / stainless steel screen mesh catalyst into the solution to perform hydrothermal crystallization; and washing by using the deionized water until the solution is neutral, drying, and calcining in an air atmosphere. The ZSM-5 molecular sieve membrane reactor has the advantages of high mechanical strength, low pressure drop, high heat stability, flexible and adjustable aperture and the like, and can be used for various catalytic reactions, such as the selective hydrogenation of alkyne and alkadiene, the preparation of synthesis gas by the partial oxidation of methane, selective catalytic disproportionation of methylbenzene and the like. The novel molecular sieve membrane reactor has a wide application prospect in processes of catalysis, separation and the like.