Abstract: The present invention provides a method of preparing an iron oxide magnetic nanoparticle, comprising the steps of: i) reacting a water-soluble ferrous salt with a water-soluble ferric salt in a mole ratio of 1:2 in the presence of a base and a citrate to give an iron oxide particle surface-coated with the citrate (c-MNP); ii) reacting the c-MNP obtained in step (i) with a thiophilic compound to give a thiophilic compound-bounded iron oxide particle surface-coated with the citrate (thiophilic-c-MNP); and iii) modifying the thiophilic-c-MNP obtained in step (ii) using a surfactant for phase transfer of the thiophilic-c-MNP from aqueous phase to organic phase. The present invention also relates to the iron oxide magnetic nanoparticle prepared by the above-mentioned method and the use of the nanoparticle in desulfurization. The iron oxide magnetic nanoparticle of the present invention is capable of effective deep desulfurization.