To provide a method of forming a heat exchange well and an underground thermal system allowing burying work at a low cost, even in a crowded residence area or a narrow site, and allowing efficient heat exchange.

A heat exchange pipe 71 with a U-shaped tip through which a heat exchange body flows is inserted into a drilled hole 70 drilled substantially vertically up to an inside of the underground 6 not affected by heat from the ground surface 6A, by an auger type drilling machine 30, a heat conductive member 73 is filled in a prescribed range H1 from a deep part side 70A of the drilled hole 70 up to the vicinity of the ground surface 6A, after the heat exchange pipe 71 is inserted, and a generated soil 74 generated in the drilling is filled in a residual portion H2 of the drilled hole to form the heat exchange well.