The invention discloses an oil penetration-preventing polymer-bonded explosive containing paraffin microcapsules and a preparation method of the explosive. The explosive is prepared from, by mass, 30-90 parts of an explosive, 0-45 parts of metal, 0-35 parts of ammonium perchlorate, 8-20 parts of a bonding agent, 0-5 parts of paraffin, 0.1-5 parts of the paraffin microcapsules and 0-1 part of a curing agent. The method comprises the following steps that batching is conducted; the materials are put in a kneader to be mixed; the mixed materials are poured into a mold, and the mold is put in an oven for curing the materials. According to the oil penetration-preventing PBX explosive containing the paraffin microcapsules, the oil penetration performance is reduced by 60%-70%, the mechanical properties such as the tensile and compressive strength, the strain rate and the elasticity modulus are all improved, and the shock wave sensitivity is reduced.