The invention relates to the technical field of petroleum drilling, and particularly relates to anti-collapse and leakproof drilling fluid and a construction method thereof, which are applicable to a Mesozoic Triassic stratum having the characteristics of low loading capacity, repeated block leakage and large leaking stoppage difficulty. The drilling fluid is composed of polyanionic cellulose, a drilling fluid salt-resistant filtrate-loss reducer, water dispersible emulsified asphalt powder, ultrafine calcium carbonate, sodium formate, sodium hydroxide, potassium chloride and water. Due to the application of a salt-poor low soil phase, the sealing capacity of a mud cake is improved and the loading capacity of the stratum is enhanced; low density is effectively controlled, and the probability of induced lost circulation is reduced; and the pump delivery is reduced, and the erosion of the drilling fluid to the wall of a well is reduced, thereby protecting the wall of the well from collapsing. According to the invention, through enhancing the loading capacity of the stratum, the low density is effectively controlled, the pump delivery is reduced, the probability of lost circulation is reduced, the drilling cycle of the block is greatly reduced, and the drilling cycle is shortened by over 50%.