The invention discloses a U-shaped steel composite support structure for a deep dynamic pressure soft rock roadway and a construction method of the U-shaped steel composite support structure. The U-shaped steel composite support structure comprises anchor rods, anchor cables, a U-shaped steel support, a uniform pressure relief course, an inverted arch and supporting stand columns. The construction method comprises the steps that firstly, the anchor rods and the anchor cables are driven into surrounding rock; secondly, the U-shaped steel support is erected; and thirdly, the uniform pressure relief layer is arranged between the U-shaped steel support and the roadway surrounding rock, wherein the uniform pressure relief layer comprises a polyester fiber net, filling bodies and a rebar net. If the surround rock where the roadway is located is much broken, the number of surrounding rock grouting equipment can be increased; if a floor heave phenomenon occurs in the roadway, the number of inverted arches can be increased; and if the vault and the two sides of the roadway are intense in ground pressure and deform greatly, the number of supporting stand columns can be increased. The uniform pressure relief layer is additionally arranged on the basis of a common U-shaped steel support structure, the setting load of the support structure is increased through a pressure relief effect of the uniform pressure relief layer, and a high deformation buffering capability is achieved; and meanwhile, a plurality of selectable measures are provided, and the U-shaped steel composite support structure and the construction method thereof can adapt to different stratum conditions, can save the cost, and are remarkable in economic benefit.