The invention belongs to the technical field of drilling fluid in a petroleum and natural gas exploring and developing process, and particularly provides anti-collapse drilling fluid and a construction method thereof. Each cubic meter of the drilling fluid comprises 1-3 Kg of polyacrylic acid potassium, 1-3 Kg of restraint anti-collapse agent, 1-3 Kg of small positive ion shale restrainer, 10-30 Kg of potassium chloride, and 1-2 Kg of large positive ion restrainer and the balance is clear water. The drilling fluid is suitable for a stratum which is high in water sensitivity and has high probability in hydrating dispersion and borehole wall instability when the stratum is in water, and has a favorable anti-collapse effect.