The invention provides a construction method for an earth pressure balance shield tunneling machine to laterally penetrate through an initially-supporting mined tunnel at a close range. The construction method comprises the following specific steps that firstly lofting is conducted on site to determine the side boundaries of two tunnels, construction of the mined tunnel is stopped, construction of partition piles is started, and an inclinometer, mined tunnel monitoring points and ground settlement monitoring points are laid; then initial values of all the monitoring points are collected, the shield tunneling machine starts to tunnel normally, data are collected, processed and analyzed, obtained information is fed back to constructors in time, and mining protective measures and tunneling parameters of the shield tunneling machine are dynamically adjusted; and finally after the shield tunneling machine passes through the mined tunnel smoothly, tunneling of the mined tunnel is started. The construction method for the earth pressure balance shield tunneling machine to laterally penetrate through the initially-supporting mined tunnel at the close range can quickly provide conditions and construction parameter guidance for shield construction, reduces the safety risk of mined tunnel construction, provides effective soil changing forms, and has good social effects and economic benefits in the aspects of construction periods, cost, safety, quality, and the like.