The invention provides a construction method for coal-pillar-free gob-side entry retaining roof-cutting roadway forming. Self-moving drilling and supporting all-in-one machines are applied. The construction method has the beneficial effects that drilling operation is easy, safe and reliable, drilling construction quality is high, the labor intensity of operators is low, the pre-cutting and drilling efficiency is high, and the progress requirement for coal-pillar-free gob-side entry retaining roof-cutting roadway forming construction can be met; when a plurality of sets of self-moving drilling and supporting all-in-one machine are used, the number of single hydraulic props used in a gate roadway is reduced in the construction process, and thus the workload of removing the single hydraulic props in the gate roadway in the coal mining working face promoting process is reduced; and when it is analyzed and judged that an immediate roof at a certain position cannot be collapsed easily, various pre-cut drill hole arrangement schemes can be rapidly formed for selection through the self-moving drilling and supporting all-in-one machines.