We extend Katok’s result on ‘the approximation of hyperbolic measures by horseshoes’ to Banach cocycles. More precisely, let f be a
$C^r(r>1)$
diffeomorphism of a compact Riemannian manifold M, preserving an ergodic hyperbolic measure
$\mu $
with positive entropy, and let
$\mathcal {A}$
be a Hölder continuous cocycle of bounded linear operators acting on a Banach space
$\mathfrak {X}$
. We prove that there is a sequence of horseshoes for f and dominated splittings for
$\mathcal {A}$
on the horseshoes, such that not only the measure theoretic entropy of f but also the Lyapunov exponents of
$\mathcal {A}$
with respect to
$\mu $
can be approximated by the topological entropy of f and the Lyapunov exponents of
$\mathcal {A}$
on the horseshoes, respectively. As an application, we show the continuity of sub-additive topological pressure for Banach cocycles.