The invention relates to the technical field of subway engineering, and discloses a structure of a station side wall formed by combining omega-shaped inserting plates with convex pilasters and a construction method, the structure comprises prefabricated pilasters, omega-shaped prefabricated inserting plates, a wall back pouring layer, pilaster brackets, prefabricated middle columns, prefabricated middle (top) longitudinal beams, laminated middle (top) plates and steel bar trusses, the omega-shaped prefabricated inserting plate is fixedly connected with the prefabricated pilaster through bolts, a steel bar truss is arranged on the omega-shaped prefabricated inserting plate, the wall back pouring layer is located between the foundation pit side wall and the omega-shaped prefabricated inserting plate, the omega-shaped prefabricated inserting plate is provided with the steel bar truss, on-site steel bar binding is directly and effectively avoided, and the construction efficiency is improved. The structure construction quality is improved, and the construction efficiency is improved; by means of the prefabricated pilaster, the pilaster bracket, the omega-shaped prefabricated inserting plate and other components, formwork-free and scaffold-free construction on a construction site can be achieved, the efficiency is improved, and meanwhile the problems that formwork erecting is difficult, and the risk is large are solved; the method is suitable for assembly type subway stations and similar projects, and the application range is wide.