The invention relates to a construction method of coiled tubing drilling and grinding underbalanced cement plug operation. The construction method specifically includes the steps that a ground choke manifold is first used for controlling, the balanced pressure is maintained on a shaft on the upper part of a cement plug, then small-diameter grinding shoes or a drillroid are used for loading the bitweight, and the cement plug is drilled and ground; when drilling through the cement plug, the shaft trap pressure P on the lower part of the cement plug is balanced through the balance pressure P sleeving on the upper part of the cement plug and the liquid column pressure P; the pressure is discharged and relieved through a discharge nozzle, and the shaft is cycled; and the large-diameter grinding shoes are then replaced to clear the cement plug, until the cement plug is completely drilled. According to the construction method of coiled tubing drilling and grinding underbalanced cement plug operation, the difficult problem of the high well control risk of cement plugs in traditional drilling and grinding wellheads or shallow well sections is solved, site builders master and operate conveniently, and the workover treatment level is improved advantageously.