The invention particularly relates to a self-cooling conductive wear-resistant compound electric brush for a high-speed train earth return device and a preparation method thereof. The self-cooling conductive wear-resistant compound electric brush comprises a porous high-conductivity and high-strength fixing block (1) and a porous high-strength wear-resistant friction block (2), wherein holes of the porous high-conductivity and high-strength fixing block (1) and the porous high-strength wear-resistant friction block (2) are filled with a cooling agent; the fusing temperature of the cooling agent is 50-150 DEG C; before the porous high-conductivity and high-strength fixed block (1) is filled with the cooling agent, the porosity is 10-15% and the aperture is 10-20 microns; and before the porous high-strength wear-resistant friction block (2) is filled with the cooling agent, the porosity is 6-10% and the aperture is 5-10 microns. The designed and prepared product is excellent in mechanical property and wear-resistant property and high in conductivity, has relatively high current-carrying capability and low wear rate and friction coefficient, is high in allowable linear velocity, and can completely meet the operating requirements of a motor train unit.