A fat composition of high purity diglyceride containing conjugated linoleic acid and a preparation method thereof are provided. The fat composition comprises 85% to 99.9% by weight of diglyceride containing 0.1 to 80% by weight of conjugated linoleic acid, and the balance being monoglyceride, triglyceride or a mixture thereof. The fat composition can be used in highly functional food additives owing to conjugated linoleic acid having various functions of effecting anti-cancer activity, reducing human body fat, enhancing immunogenicity, and preventing and/or treating diabetes, and can be simply prepared at a high production yield.