The invention relates to a preparation method for a carbon fiber material with a composite nano structure. The preparation method comprises the following steps of: pretreating carbon fiber cloth, adhering a layer of thin iron film catalyst on the carbon fiber cloth by a liquid-phase method or a physical deposition method, in a chemical gas-phase reaction chamber, carrying out in-situ growth of carbon nanotubes on the carbon fiber cloth by using argon or nitrogen as a carrier gas, ethylene or acetylene gas as a carbon source gas, and hydrogen as a reducing gas, then carrying a gas containing titanium organism into the chemical gas-phase deposition reaction chamber through the carrier gas, growing titanium dioxide at the peripheries of the carbon nanotubes to form titanium dioxide nanoshells which wrap the carbon nanotubes, thus obtaining the carbon fiber material with the composite nano structure. The carbon fiber material obtained by the preparation method has the advantages of high mechanical strength, high thermal stability, good chemical inertness and high adsorption property, supernormal strength of carbon nanotubes, large length-diameter ratio, high thermal conductivity, good catalytic activity, high chemical stability, non-toxicity and super-hydrophilicity. The carbon fiber material with the composite nano structure can have important applications in photocatalysis, electrocatalysis and other aspects.