The invention discloses a mining and filling combined hydraulic support system comprising filling auxiliary devices and filling auxiliary supports. The filling auxiliary supports are located in front of the filling auxiliary devices, connected with the filling auxiliary devices and used for pulling the filling auxiliary devices. Each filling auxiliary device comprises filling auxiliary units. Each filling auxiliary unit comprises a top beam, a base, a guide column and two hydraulic vertical columns, wherein the guide column and the hydraulic vertical columns are connected between the top beam and the base, and the guide column is located between the two hydraulic vertical columns; filling pipe seats are arranged at the front ends of the bases; and hanging pieces used for hanging filling moulds are arranged on the sides of the top beams. Mined areas do not need to be overall filled, room-column type filling is adopted, the moulds are filled with mixtures capable of being rapidly solidified, mining and filling can be conducted simultaneously, the filling time can be shortened, the filling cost can be reduced, and the filling efficiency is improved.