The present application is related to a three-dimensionally ordered macroporous oxygen-deficient cerium dioxide catalyst, and a preparation method and an application thereof. The catalyst is prepared by using a polymethyl methacrylate (PMMA) colloidal crystal template method, calcining in a reducing/oxidizing atmosphere, and treating with water vapor, and the prepared catalyst shows an excellent activity and stability in photothermocatalytic purification of typical amospheric pollutants such as styrene, n-hexane, and cyclohexane. The method has the characteristics of cheap and easily available raw materials, simple preparation process, controllable oxygen vacancy, surface acid amount, and acid strength of the obtained material, and excellent photothermocatalytic performance.