The invention discloses a catalyst with active component nano particles embedded in a molecular sieve to crystallize. The catalyst comprises metal active component nano particles and a molecular sieve, the catalyst comprises metal active component nano particles are embedded and dispersed in the molecular sieve, the content of the active component nano particles in the catalyst is 2-70wt%, the particle size of the active component nano particles is 4-200nm, the crystal grain size of the molecular sieve is 1-10mu m; and the invention further discloses a preparation method and an application of the catalyst. The active metal in the catalyst disclosed by the invention is embedded and dispersed in the molecular sieve, the particle size is small; the metal active centre is effectively matched with an acid centre, the heavy constituent product can be effectively cracked; the catalytic activity is high, the metal reducibility is high, and the methane selectivity is low; the Fischer-Tropsch reaction activity cannot be reduced; the preparation process is simple, the cost is recued, and the catalyst is suitable for large industrial application; and the molecular sieve cannot break due to the difference of thermal coefficients of expansion, and the mechanical strength is high.