No, such a catalogues does not (yet) exist. There are two reasons.
1 The Milky Way galaxy is about 20kpc (1pc ~= 3 lyr) across and only the very brightest stars are individually identifyable across such large a distance (such bright stars by their nature are very massive and hence young). Astronomers tend to cataloge stars by their apparent brightness, which for stars of identical luminosity declines as $1/d^2$ ($d$=distance). As a consequence, most catalogues contain only stars in the immediate galactic neighbourhood of the Sun. The Hipparcos catalogue (mentioned in another answer), for example, has most stars within a mere 100pc of the Sun.
2 Obtaining distances for individual stars is inherently difficult, in particular the more distant the star in question is. Accurate distances for stare several kpc away can currently only be obtained by indirect methods applicable only to certain types of stars (such as RR Lyrae variables). The classical trigonometric parallax measurement for such distances, however, is subject of ESA's ongoing Gaia mission.
ESA's Gaia satellite launched last year aims at cataloguing about $10^9$ stars across the Milky Way, including their velocity. The first preliminary versions of resulting catalogue, however, will still take some time to appear.