The invention relates to a cast-in-place underground diaphragm wall and cast-in-place subway station construction integrated method. The method comprises the following steps that a lifting machine, a grouting machine and a hydraulic grab are assembled on a bearing girder of a gantry crane, slotting machines are assembled on landing legs of the gantry crane, and rails of the combined gantry crane and rails of the slotting machines are laid at the corresponding positions of a construction site, and the combined gantry crane is erected at the starting position of the construction range of a subway station; trench excavating of an underground diaphragm wall is conducted through the slotting machines of the combined gantry crane; by means of the lifting machine and the grouting machine of the combined gantry crane, the underground diaphragm wall is constructed; a foundation pit is excavated through the hydraulic grab of the combined gantry crane; accurate positioning is conducted on a cast-in-place bottom plate at the head ring, and the accurate position of a cast-in-place station is determined; according to the position determined in the fifth step, a station main structure is poured and constructed through the grouting machine of the combined gantry crane and manual cooperation; and an inner structure of the station is cast through the grouting machine of the combined gantry crane, then soil covering and backfilling are conducted, and station construction is finished.