The invention provides an EPS light aggregate concrete composite wall and its construction method, belongs to the field of constructional insulation walls, and solves the problem that thermoengineering property of a wall composed of a single material can not meet requirements when the wall is used as a bearing wall. Based on that fact that strength of the composite wall meets requirements, its energy-saving and insulation capabilities are greatly enhanced. The composite wall comprises a base, an adhesive mortar layer, a heat-insulation layer, a rendering coat and a finish coat, wherein the base and the heat-insulation layer are anchored through an anchor bolt; raw materials for the preparation of the heat-insulation layer comprise cement, perlite, fly ash, water, EPS particles, river sand, a polyvinyl acetate solution and silica fume; and raw materials for the preparation of the adhesive mortar comprise cement, river sand, a polymer emulsion, cellulose ether and water. The composite wall provided by the invention can be used to eliminate thermal bridges in building construction and improve indoor environment, has no insulation cut point, and is beneficial to indoor thermostabilization.