The invention discloses a double-wheel milling diaphragm wall structure and a construction process thereof. The construction process comprises the following steps that S1, pre-excavation is conducted, specifically, a plurality of first-stage groove positions which are arranged at intervals are formed firstly, excavation is conducted on the first-stage groove positions in the vertical direction, corresponding soil is carried out of the groove holes, and meanwhile slurry is poured into the groove holes; S2, double-wheel milling excavation is conducted, specifically, the groove holes are further excavated through double-wheel milling, and meanwhile slurry is poured into the groove holes; S3, concrete slurry is poured, specifically, the concrete slurry is gradually poured into the bottom of the groove holes, and meanwhile, slurry is injected, pumped out and temporarily stored; and S4, second-stage groove position forming is carried out, a second-stage groove position is formed between two adjacent first-stage groove positions, and the above operation is repeated. The double-wheel milling diaphragm wall structure has the effect of reducing the risk that the soil layer on the peripheral side of the groove hole is prone to collapse, and the risk of sludge accumulation at the bottom of the groove hole can be reduced.