The invention discloses a double-layer combined casing structure which comprises an internal thread coupling joint, an external thread coupling joint, an outer-layer casing and an inner-layer casing.The two ends of the outer-layer casing are in threaded connection with the internal thread coupling joint and the external thread coupling joint correspondingly, sealing performance and connection performance of the casing are achieved, one end of the inner-layer casing is in threaded connection with the internal thread coupling joint, and the other end of the inner-layer casing is inserted into an inner hole clamping groove of the external thread coupling joint. Meanwhile, the invention discloses an assembling method of the double-layer combined casing structure. The machining and assemblingproblems of the double-layer combined casing can be effectively solved, the double-layer combined casing is stable and reliable in structure, the plastic deformation resistance of the inner-layer casing is effectively improved, therefore, external extrusion strength of the whole double-layer combined casing is improved, and the double-layer combined casing is particularly suitable for shale gas horizontal section oil layer casings needing multiple fracturing operations; and in the service process, drilling fluid enters the annular space gap, the pressure difference between the inner wall andthe outer wall of the outer-layer casing is balanced, and the anti-extrusion strength of the outer-layer casing is effectively improved.