The invention discloses a construction method for a large underground high voltage transformer substation, and relates to the technical field of transmission and transformation project design and construction. The underground high voltage transformer substation is constructed in a stratum with too many peripheral buildings on the ground surface and a thick sandy soil layer, and an existing methodcauses the problems that the joint of an underground continuous wall is prone to water seepage, the waterproof construction difficulty of a structure is high, and influence on the surrounding environment is large. The construction method includes the steps that firstly, a groove is excavated downwards from the ground surface; secondly, the underground continuous wall is constructed in the groove,and cement stirring piles are constructed at the joints of the underground continuous wall for reinforcement and as the envelop enclosure of a foundation pit; thirdly, the foundation pit is excavatedto the designed elevation, a steel structure framework is erected in the foundation pit, concrete is poured, and a transformer substation box body is manufactured; and fourthly, a transformer is installed in the transformer substation box body, the transformer substation box body is closed by precast concrete covering plates, and waterproof seepage resisting construction is conducted.