A set of primary blocks of artificial conglomerate (10, 11) spaced apart from each other around the portion of ground (T) which has to be excavated is formed using jet grouting techniques in a vertical plane transverse to the axis of the tunnel which has to be excavated. A set of infill blocks of artificial conglomerate (20, 21) each located between two consecutive primary blocks in order to firmly connect them together is then formed. Each infill block has an outer portion (22) which extends over the outer surfaces (13-16) of two consecutive primary blocks (10, 11). A continuous closed ring structure is thus obtained. By repeating these operations alongside the structure already formed, a continuous tubular structure of artificial conglomerate is obtained.