The invention discloses a dysoxia-resistant lactase yeast strain with a preservation number of the dysoxia-resistant lactase yeast strain is CCTCC NO:M2016252. The invention further discloses a construction method of the dysoxia-resistant lactase yeast strain, wherein the construction method comprises the following steps: sequentially transferring expression vectors in vitreoscilla hemoglobin cells and lactase secretory expression vectors into pichia pastoris; screening a strain with high lactase activity to obtain the dysoxia-resistant lactase yeast strain. The strain disclosed by the invention can be used for preparing recombinant lactase protein by high-density fermentation; a utilization rate, on oxygen gas, of cells is increased by synthesizing hemoglobin (VHB) in cells, and growth, under an oxygen-lean condition, of the cells is promoted, so that the expression yield of extracellular recombinant lactase is increased.