The invention discloses a thermoplastic polyurethane hollow fiber membrane and a preparation method thereof. The hollow fiber membrane is made of polyurethane and prepared by adopting a thermally induced phase separation process. The preparation method comprises the following steps of: mixing thermoplastic polyurethane, thinner, inorganic pore-forming agent and antioxidant uniformly by using a high-speed stirrer, melting and extruding the mixture into granules by using a double-screw extruder, then melting and extruding the granules into hollow fibers by using a single-screw extruder, performing cooling molding, and finally extracting the thinner and the inorganic pore-forming agent in the hollow fibers. The prepared thermoplastic polyurethane hollow fiber membrane has the advantages of high flux, tensile strength and compressive strength, good flexibility of membrane silks, high elongation of the membrane silks at break, good chemical tolerance, permanent hydrophilic property, dry storage and the like. The fiber membrane can be applied to filtration of household and commercial drinking water, filtration and purification of brewed wine, food and medicaments, municipal tap water and sewage treatment, industrial sewage treatment, sea water desalinization pretreatment and the like.