The invention discloses a gravity retaining wall and a construction method thereof. The gravity retaining wall is arranged in a sludge foundation pit. The foundation pit comprises a side face and a bottom surface. The gravity retaining wall comprises a plurality of oblique piles and a plurality of vertical piles. The multiple oblique piles incline towards the side face from the ground surface on the outer side of the foundation pit and are in mutual engagement and lap joint to form an oblique water interception curtain. The multiple vertical piles are arranged on the side face and are in mutual engagement and lap joint to form a vertical water interception curtain. A surrounding area with a triangular cross section is formed after the vertical water interception curtain and the oblique water interception curtain are combined. A gravity unit is formed after drainage consolidation is conducted on sludge in the surrounding area. According to the gravity retaining wall and the construction method thereof, local materials are used, a supported soil body which is prone to collapse is used as a supporting structure gravity unit after the supported soil body is subjected to engineering improvement, the supporting effect is improved remarkably, the working safety in the foundation pit is improved, the construction method is simple and easy to operate, and the applicability is high; and compared with a traditional foundation pit supporting technique, the safety performance is higher, and the economic applicability is higher.