The invention relates to a low thermal expansion coefficient NaMxAlySiz high entropy alloy and a preparation method thereof, the chemical components of the alloy are as follows: 75 <= a <= 100%, 0 <= x <= 10%, 0<= y<= 10%, 0<= z<= 5%, N is arbitrary three or more than three of Ta, Nb, Hf, Zr, Ti, Mo and W, and M is any one or more than one of V, Mn, Fe, Co, Ni and Cr. The alloy phase structure is as follows: a body centered cubic solid solution and an intermetallic compound. The alloy is prepared by arc melting method in three stages. The NaMxAlySiz high entropy alloy has a low thermal expansion coefficient at the temperature in the range of room temperature to 1000 DEG C, the change rate is less than 20%, and the alloy has a broad application prospect in the high temperature industrial field.