The invention relates to a construction method of a natural bank slope protection structure based on a sponge city concept. The construction method comprises the following steps that S1, a filter pond is constructed, specifically, a filter pond foundation trench is excavated, a water filter gabion A and a water filter gabion B are formed, water-permeable geotechnical cloth is laid, a regulation and storage layer is filled, a drainage blind pipe B is pre-buried, and planting soil B is filled; S2, a rain ditch and a water-permeable step are prefabricated; S3, a terrace type revetment is constructed, specifically, water-permeable geotechnical cloth is laid, bank slope gravel is laid in a layered mode and rolled, living wood piles are driven, and backfill soil and a plant fiber blanket are constructed; S4, a hydrophilic footpath is constructed; and S5, a grass planting drainage ditch is constructed, specifically, a grass planting drainage ditch groove is excavated, a prefabricated water catchment ridge and a prefabricated overflow ridge are built, water-permeable geotechnical cloth is laid, drainage ditch gravel is constructed, a drainage blind pipe A is buried, and planting soil A is filled. The bank slope protection structure is convenient to construct and stable in structure, and natural accumulation, natural permeation and natural purification are achieved.