The invention discloses an integrated construction device for an assembly type underground diaphragm wall or precast pile and a cast-in-place underground station and a construction method adopting the same. The integrated construction device comprises a gantry crane 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 foundation pit to be excavated correspondingly. At least two sliding rails are arranged on the lower portion of the transverse gantry crane beam. A grab machine is fixed to one sliding rail, and a grouting machine is fixed to the other sliding rail. The inner sides of the two supporting frames are each fixedly provided with a slot milling machine. The integrated construction device 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 foundation pit, and station construction, improving the construction speed, shortening the construction period, causing little environmental pollution and the like.