The invention discloses a steel, FRP (fiber reinforced plastic) and environment-friendly concrete combined column and a building method thereof. The combined column comprises at least one vertical section, and the vertical section comprises a square steel tube and a round FRP tube. The round FRP tube is arranged in the square steel tube, common concrete is placed between the square steel tube and the round FRP tube in a filling manner, and the round FRP tube is filled with environment-friendly concrete. According to the steel, FRP and environment-friendly concrete combined column, by using the advantages of light mass, high strength and good corrosion resistance of the FRP material, not only the cost can be reduced by adopting the sustainable development material, but also the characteristics of high bearing capacity, high ductility, light weight and the like of the combined column are ensured. Meanwhile, the square steel tube improves the rigidity and ductility of the combined column, improves the shock and impact resistance, and is favorable for node connection, the construction difficulty is reduced, so that the combined column becomes a low-cost and high-performance member, and can be used for engineering structures of high-rises, large-span bridges and the like, and high technical and economic benefits are obtained.