The invention relates to an underground diaphragm wall prefabricating method for a built-in capillary tube heat exchanger. The underground diaphragm wall prefabricating method comprises the followingsteps of: in each segment of diaphragm wall, independently constructing diaphragm wall guide walls, drilling on a position near the diaphragm wall between two diaphragm wall guide walls, and graspinga groove between the two diaphragm wall guide walls; fixing a capillary tube and a reinforcement cage, checking the air tightness of capillary tube branch tubes, sealing two ends by a plurality of capillary tube branch tubes in the presence of air, fixing capillary tube main tubes with the reinforcement cage, connecting the plurality of capillary tube branch tubes with a plurality of capillary tube main tubes, placing an integral structure of the reinforcement cage and the plurality of capillary tube branch tubes in the groove along external diaphragm wall guide walls, and pouring concrete into the groove to fix the reinforcement cage; connecting the capillary tube main tubes, and connecting the capillary tube main tubes with a water collection manifold (water knockout drum) branch tubes;and arranging a crown beam above a reinforcement structure, pouring the concrete to enable the concrete to cover the crown beam and the capillary tube main tubes, and forming a plurality of diaphragmwalls into a whole. According to the underground diaphragm wall prefabricating method, quick construction of the underground diaphragm wall of the built-in capillary tube heat exchanger is realized.