The present disclosure provides a cesium tungsten bronze-based self-cleaning nano heat-insulation coating material, and method of preparing the same. Cesium tungsten bronze nanoparticles are prepared by hydrothermal method using WCl6 and CsOH.5H2O as raw materials, PVP as a surfactant and acetic acid as an acid catalyst. TiO2 nanoparticles are prepared from TiCl4. Subsequently ball milling and dispersing of the cesium tungsten bronze nanoparticles, the TiO2 nanoparticles, and a silane coupling agent with water to obtain an aqueous slurry containing cesium tungsten bronze/TiO2 composite particles is performed. The concentration of the aqueous slurry containing cesium tungsten bronze/TiO2 composite particles is adjusted to obtain a self-cleaning nano heat-insulation coating material.