An ultrahigh resolution photoassociation spectrum of caesium atoms in a magneto-optical trap is presented. Hyperfine structure of the excited state molecule is obtained by using the lock-in method based on modulated cold atoms in this spectrum. Amplitude of resonant lines related to the rotational levels increases with photoassociation laser intensity, and saturation effect of photoassociation of cold atoms is observed in our experiment. The saturation intensity of photoassociation is deduced by fitting the experimental data to a saturation model based on scattering theory. Differences among saturation intensities of different rotational progressions in the v = 55vibrational state of the caesium molecular long-range O-g state have been found.