The invention discloses a construction device for deep foundation pit excavation and underground station construction and a construction method adopting the same. The construction device comprises a gantry crane provided with a lifting machine. The gantry crane comprises a transverse gantry crane beam and two supporting frames used for supporting the transverse gantry crane beam. The two supporting frames are arranged on the two sides of a deep foundation pit to be excavated correspondingly. A height-adjustable cross beam is arranged below the transverse gantry crane beam and fixedly provided with a grab machine and a grouting machine which can move transversely. The inner sides of the two supporting frames are each fixedly provided with a slot milling machine. The construction device for deep foundation pit excavation and underground station construction has the beneficial effects that motions of all the mechanisms are coordinately controlled through a control device or a remote control, and control is convenient and simple; and meanwhile, the situation that one or more workers are allocated to each machine during working is avoided, so that labor is saved. The construction method has the advantages of achieving integrated operation of retaining and excavation of the deep foundation pit, and station construction, improving the construction speed, shortening the construction period, causing little environmental pollution and the like.