To provide a method for constructing a continuous underground wall, which hardly causes damage to a heat exchange pipe provided in the continuous underground wall and which enables construction to be efficiently performed in a short period of time.

This method for constructing the continuous underground wall constructed from soil cement includes: a soil cement forming step of forming the soil cement by injecting and agitating cement milk while drilling a hole into the ground; an erection step of erecting a case body, the upper end of which is opened and which surrounds the heat exchange pipe provided in the continuous underground wall, in the soil cement by curing the upper end, before the hardening of the soil cement; and an installation step of installing the heat exchange pipe in the case body, after the hardening of the soil cement.