The invention relates to a PE composite modified asphalt waterproof coil material and a preparation method thereof. The material sequentially comprises an upper surface isolation layer, an upper polymer modified asphalt layer, a base layer, a lower polymer modified asphalt layer and a lower surface isolation layer from top to bottom, wherein the upper polymer modified asphalt layer and the lower polymer modified asphalt layer are prepared from PE composite modified asphalt; the PE composite modified asphalt comprises, by weight, 70-80 parts of petroleum asphalt, 20-30 parts of polyethylene, 10-15 parts of SBS rubber, 10-15 parts of furan resin, 3-5 parts of pentaerythritol stearate, 0.1-0.3 part of graphene, 1-3 parts of sodium dodecyl benzene sulfonate, 1-3 parts of sodium oleate, 5-8 parts of paraffin, 1 part of zinc ethylphenyl dithiocarbamate, 0.5 part of phthalic anhydride, 1 part of sulfur, 0.6 part of petroleum sulfonate, 1-3 parts of butanedioic anhydride, 3-5 parts of methyl cellulose and 1-3 parts of pyroligneous liquor. The prepared waterproof coil material has good high- and low-temperature performance and storage stability, effectively improved waterproofness, effectively improved ageing resistance, and prolonged service lifetime.