The invention provides a construction method of an air duct structure sharing a side wall together with a subway station. The construction method of the air duct structure sharing the side wall together with the subway station specifically comprises the steps of firstly, adopting a mode of erecting templates on the two sides to construct the side wall shared by the air duct structure and the subway station; secondly, breaking station fender posts in a shared side wall area according to a mode of breaking one post every 2-4 posts; finishing excavation of earthwork and construction of an air duct bottom plate, wherein the air duct bottom plate is connected with a station middle plate through a fender post breaking area to form a temporary support; after a station main body structure is constructed, breaking the rest fender posts, and pouring micro-expansion concrete in the breaking area; and fixing the template on the air duct side of the shared side wall on a supporting net sheet by embedding a steel reinforcement anchor bolt in the station building envelope and welding the supporting net sheet on the exposed end of the steel reinforcement anchor bolt. The construction method of theair duct structure sharing the side wall together with the subway station can be widely used for construction of the air duct structure when the station and an air duct share the side wall; the apparent mass of concrete of a shared side wall cast-in-place structure is guaranteed; and the occurrence of foundation pit instability accidents is avoided.