The invention relates to an anti-winding device for repeated use in underground diaphragm wall construction and a construction method of the anti-winding device. The anti-winding device comprises a baffle plate and a fixing rod, the baffle palte is in a rectangular shape, the fixing rod is L-shaped, and the baffle palte and the fixing rod are symmetrically arranged at the top of the baffle plate;the lower end of the vertical part of the fixing rod is fixed on the baffle plate; the construction method comprises the following steps that the anti-winding device is manufactured; a release agent is painted; a steel bar cage with the I-shaped steel joint is manufactured; various parameters of the groove width is detected; the steel bar cage and the I-steel joint are hung, a lock catch box is put down, and a sand belt is refilled; the anti-winding device is installed, and the concrete is poured into a super-irrigation position; and after the concrete in the super-irrigation position reachesinitial setting, and the anti-winding device is pulled out and is washed to be stored. The anti-winding device and the construction method thereof can effectively avoid the flowing concrete at the top of the I-steel, so that the groove formation and the difficult wall brushing are prevented from being caused by concrete caking, the construction quality is improved, meanwhile, the device and the method can be repeatedly used, resources are saved, and the cost is reduced.