The invention relates to a construction method of a breakwater in a pile-supported cylindrical caisson structure. Connection of a multi-segment pile and sinking of thereof are finished by sinking a lower cylindrical caisson under negative pressure. The pile-supported cylindrical caisson structure comprises an upper cylinder with reserved pile holes, a lower cylinder with compartments and foundation piles; the foundation piles penetrate the reserved pile holes of the upper cylinder and are connected with the upper cylinder through concreting to form an integrated structure; a bottom plate of the upper cylinder is a cover plate of the lower cylinder; the cover plate is provided with reserved ducts for valve control. The construction method has the advantages that the advantages of the cylindrical caisson structure, the caisson structure and the foundation pile structure are given to full play; after the lower cylinder is sunk into the earth, horizontal bearing capacity of the foundation structure can be improved; the foundation pile structure allows higher vertical bearing capacity for a foundation; after the upper cylinder is filled with backfill, structural stability can be improved and wave impact resistance can be improved.