The invention discloses a concrete-filled steel tube composite structure underground diaphragm wall with pull rods and a construction method of the underground diaphragm wall. The underground diaphragm wall comprises a plurality of wall sections connected sequentially longitudinally along the underground diaphragm wall, the wall sections comprise welded rectangular steel tubes and external cast-in-situ box-type reinforced concrete structures, the steel tubes are provided with the pull rods at a certain interval, and lugs are welded inside the steel tubes. The middle or two sides of each end of each wall section is provided with slits, connection steel plates are embedded in the slits, the wall sections are connected into a whole by grouting after flushing, and the steel tubes are filled with concrete after hoisting is completed. The connection steel plates are as long as the wall sections and slightly smaller than the slits in sectional dimension. Anchor rod holes are reserved in thin walls of the wall sections, the steel tubes are pre-embedded in the anchor rod holes, pre-stressed anchor rods are arranged through the reserved anchor rod holes after excavation of a foundation pit, anchor ends are abutted against the walls of the steel tubes, and an anchor zone is sealed by the concrete finally. The underground diaphragm wall is high in integral structural strength, excellent in structural performance and reliable in connection.