The invention discloses a polyurethane grouting micropile with a pile bag as well as a construction method and an application method of the polyurethane grouting micropile. The polyurethane grouting micropile is characterized by comprising an outer grouting pipe, the flexible pile bag arranged on the outer grouting pipe in a sleeving manner, and polyurethane foams filled in the outer grouting pipe and the flexible pile bag, wherein a bag opening of the flexible pile bag is hermetically connected with the outer wall at one end of the outer grouting pipe. The micropile has the advantages of high single pile bearing capacity, good foundation embedding and fixing capability, simplicity and quickness for construction, controllable pile shape and diameter, low grout consumption, short working period and no quality accidents of diameter reduction and pile breakage.