The invention provides a gas-sensitive transducer with a nano wall structure and a preparation method thereof. The transducer sequentially comprises a measurement circuit, a measurement electrode, a nano wall structure sensitive material, porous alumina, compact alumina, pure aluminum, a sensitive material, a heating material, a heating electrode and a heating circuit which are in close contact from top to bottom. The preparation method of the transducer comprises the steps of: preprocessing the pure aluminum, and then forming a porous anode oxidation template by using a secondary anode oxidation method, wherein the surface of the porous anode oxidation template is provided with the porous alumina and the bottom layer is provided with the compact alumina; preparing the sensitive material with the nano wall structure on the template by adopting a sol-gel coating method; and preparing the measurement circuit, the measurement electrode, the heating material, the heating electrode and the heating circuit by adopting a screen printing method, i.e. assembling the gas-sensitive transducer with the nano wall structure. The transducer has better sensitivity, optimized performance and controllable structure.