The invention provides a prefabricated steel jacket box underground continuous wall and a construction method thereof. The prefabricated steel jacket box underground continuous wall comprises a prefabricated steel jacket box and a concrete material which is poured into the prefabricated steel jacket box, wherein the prefabricated steel jacket box is formed by a plurality of steel jacket box units which are arranged in sequence, and each steel jacket box unit consists of wall plates, structural steel frames and truss structures. The construction method for the prefabricated steel jacket box underground continuous wall comprises the following steps: 1, providing the steel jacket box units, and manufacturing a guide wall; 2, placing the steel jacket box units into the guide wall to form the prefabricated steel jacket box; 3, pouring top seal concrete into the prefabricated steel jacket box; 4, replacing slurry in the prefabricated steel jacket box by clean water; 5, pouring the concrete into the prefabricated steel jacket box; 6, pressing and injecting cement slurry on the outer side of the prefabricated steel jacket box and at the bottom of the guide wall; 7, excavating along with earthwork, and welding the positions of seams on the inner side of the prefabricated steel jacket box to form the prefabricated steel jacket box underground continuous wall. According to the prefabricated steel jacket box underground continuous wall and the construction method thereof, the on-site field is greatly reduced, the construction efficiency is high, moreover, the water sealing property is good, and the structural strength is high.