The invention discloses an internal expanding grouting-free recoverable anchor and a construction method thereof. The anchor comprises an anchoring segment and a free segment. The anchoring segment comprises an internal cylinder segment and an external cylinder segment, wherein the internal cylinder segment is formed by a plurality of arc-shaped supporting plates, and the external cylinder segment is formed by a plurality of arc-shaped supporting plates. The internal cylinder segment is internally provided with an expander. A center steel strand penetrates the expander and is fixed to the expander. One end of the internal cylinder segment is connected to a first supporting base through a first supporting connection rod, and the other end of the internal cylinder segment is connected to a second supporting base through a second supporting connection rod. The free segment comprises a force transmission steel strand which is connected between the end portion of the internal cylinder segment and the end portion of the external cylinder segment and an anchor connection disk. One side of the anchor connection disk is connected with a tension steel strand, a cable feeder penetrates the center of the anchor connection disk, and the cable feeder jacks the first supporting base. The anchoring force of the anchoring segment is provided by internal expanding type side friction, grouting is not needed, the surrounding soil can be prevented from pollution, the construction period can be shortened, the anchor can be recovered and recycled, and the cost can be reduced.