A metal oxide-loaded molecular sieve catalyst comprises pure cryptomelane type manganese dioxide and transition metal. A method for preparing the molecular sieve catalyst comprises the following steps: 1, preparing solution of potassium permanganate; 2, preparing solution of manganese acetate; 3, adding the solution obtained by the step one into a three-neck flask, and heating, condensing and refluxing the solution; 4, adding the solution obtained by the step two into the three-neck flask of the step three, condensing and refluxing the solution, filtering and drying the obtained black pasty sediment, and roasting the sediment to obtain an octahedral manganese oxide molecular sieve catalyst (OMS-2) solid; 5, adding cerium ammonium nitrate, cobalt nitrate hexahydrate, copper nitrate trihydrate, ferric nitrate nonahydrate or yttrium nitrate into deionized water to form solution; and 6, mixing the solid taken from the step four and the solution in the step five, soaking cerium on the octahedral manganese oxide molecular sieve catalyst (OMS-2) solid, and drying and roasting the obtained solid to obtain the metal oxide-loaded molecular sieve catalyst. The metal oxide-loaded molecular sieve catalyst has the characteristics of high purification efficiency, low price and good thermal stability.