The invention discloses a combined cooling heating and power underground diaphragm wall device and a construction method thereof. The device comprises an underground diaphragm wall and heat exchange tubes, an air conditioning system and a thermoelectric power generation system which are arranged in the underground diaphragm wall; the heat exchange tubes firstly conduct heat exchange with soil masses and then conduct heat exchange with indoor air through upper heat exchange equipment to adjust the room temperature; in the thermoelectric power generation system, a semiconductor thermoelectric power generation device I achieves thermoelectric conversion and heat exchange through temperature differences between the heat exchange tubes and the soil masses on the pile side; the semiconductor thermoelectric power generation device I achieves thermoelectric conversion and heat exchange through the temperature difference between every two adjacent heat exchange tubes and supplies obtained electric power to upper electric equipment. According to the combined cooling heating and power underground diaphragm wall, compound utilization of the underground diaphragm wall in mechanics, thermotics and electrics is effectively achieved, as-needed and interleaved multi-target effective utilization of shallow geothermal energy is achieved, and the energy utilization efficiency is improved.