The invention discloses a polycaprolactone and silk fibroin electrospun fibrous membrane with the surface of a continuous laminated micro-nano structure and a preparation method and application thereof. The preparation method comprises the steps that 1, silk fibroin and polycaprolactone are dissolved into hexafluoroisopropanol and are stirred and dissolved at room temperature to obtain a mixed solution; 2, electrostatic spinning is performed on the mixed solution to prepare a polycaprolactone and silk fibroin blended membrane; 3, vacuum drying is performed on the polycaprolactone and silk fibroin blended membrane, then, the polycaprolactone and silk fibroin blended membrane is subjected to a heating reaction with a PCL monomer and a stannous octoate catalyst under the nitrogen protection, and the polycaprolactone and silk fibroin electrospun fibrous membrane is obtained. The polycaprolactone and silk fibroin electrospun fibrous membrane obtained through the preparation method has the surface layer laminated micro-nano structure fiber morphology, the specific surface area and the fiber diameter are greatly increased, the probability that the hydrophobicity of the electrospun membrane is converted into hydrophile is increased, the fiber specific surface area is greatly increased, and the space maintaining capacity, the dynamic mechanics performance and the degradation performance are greatly improved.