A method of constructing an exhaust heat recovery boiler. A required number of heat transfer tube group panel modules (20) are produced in an appropriate size according to design specifications of HRSG, where the heat transfer tube group panel modules (20) each have a large number of heat transfer tubes (6), heat transfer tube group panels (23) constituted of upper and lower collection tubes (7, 8) for the heat transfer tubes (6), a casing (1) for the heat transfer tube group panels (23), heat transfer tube group panel supporting beams (22) provided outside a ceiling wall portion of the casing (1), and a vertical and horizontal module frames (24, 25) provided outside the casing (1). Main frames for supporting the modules (20), including main pillars (33), main beams (34), and bottom wall portion pillars (36), are constructed in advance in a construction site of the heat recovery boiler (HRSG). Each module (20) is transported to the construction site and lowered by a crane (42) into between adjacent main pillars (33). Supporting beams (22) of each module (20) are placed at the height of installation of the main beam (34). Then the horizontal module frames (25), the main beams (34), and the bottom wall portion pillars (36) are connected and fixed, and the vertical module frames (24) and the main pillars (33) are connected and fixed.