The invention provides a novel TBM (tunnel boring machine) with pipe shed construction ability and a construction method thereof and aims to solve the technical problems of complex construction process, low construction efficiency and slow construction progress when a TBM construction method and a pipe shed supporting method are used respectively. The novel TBM comprises a TBM body, a pipe shed drilling machine and an annular rail, the pipe shed drilling machine is arranged on a drilling machine supporting seat, a pitching oil cylinder and a pushing oil cylinder are arranged on the lower portion of the drilling machine supporting seat, the annular rail is socketed on a main crossbeam of the TBM body, and the drilling machine supporting seat is connected with the annular rail through the pitching oil cylinder and the pushing oil cylinder. By adopting the technical scheme, the TBM body and the pipe shed drilling machine are combined, so that influence on construction progress caused by caving of fractured zones, loose zones and soil-layer zones or gushing of a lot of underground water when the TBM is adopted for tunnel construction can be prevented.