The frost-resistant assembled initial support structure of the tunnel for supporting a surrounding rock includes a bearing layer, an elastic compressible structure and an inflatable airbag. A gap space is formed between the bearing layer and the surrounding rock, and the inflatable airbag and the elastic compressible structure are provided in the gap space; and the inflatable airbag after being inflated and the elastic compressible structure jointly fill up the gap space. A construction method includes providing the bearing layer in the tunnel, and forming the gap space between the bearing layer and the surrounding rock; providing the inflatable airbag and the elastic compressible structure in the gap space; and inflating the inflatable airbag and filling up the gap space with the inflatable airbag and the elastic compressible structure.