The invention relates to an arch column method for building a large-scale underground structure in shallow buried rock stratums. The method comprises the following steps of: 1, separately excavating underground one-storey middle pilot tunnels, constructing primary supports, and constructing pile foundations and steel pipe columns at the positions of middle columns; 2, constructing secondary linings including underground one-storey floors, steel pipe columns, roof timbers, roof arches and the like, and waterproof layers in middle tunnels; 3, symmetrically excavating underground one-storey two-side pilot tunnels, constructing primary supports, and constructing pile foundations and side columns under side walls; 4, constructing secondary linings including floors, vertical walls, edge arches and the like in side tunnels and waterproof layers, and disassembling temporary supports; 5, under the protection of underground one-storey structures, downwards excavating an underground second-storey structure with large-scale machinery, besides, constructing side wall bolt spray supports or slab rib type anchored bolt retaining wall supports, and pouring underground second-storey floors, side walls and waterproof layers; and 6, sequentially downwards excavating a plurality of underground storeys, besides, constructing side wall supports, and pouring floors, side walls and waterproof layers of corresponding storeys. The method disclosed by the invention is convenient to construct, high in efficiency, small in construction risks, good in stratum deformation control, and low in building cost.