Provided is a combined cooling heating power diaphragm wall apparatus and a construction method therefor, the apparatus comprising: a diaphragm wall (1), a heat exchange pipe (2) arranged inside the diaphragm wall (1), an air conditioning system, and a thermoelectric power generation system. The heat exchange pipe (2) firstly exchanges heat with the soil, and then exchanges heat with indoor air by means of an upper heat exchange apparatus (7), so as to adjust room temperature; in the thermoelectric power generation system, a semiconductor thermoelectric power generation apparatus I (3) achieves thermoelectric conversion and heat exchange by utilizing a temperature difference between the heat exchange pipe (2) and a soil body at a pile side. A semiconductor thermoelectric power generation apparatus II (4) achieves thermoelectric conversion and heat exchange by utilizing a temperature difference between neighboring heat exchange pipes (2), and uses the obtained electric power for the electric power supply of upper power-consuming equipment (11), respectively. The provided combined cooling heating power diaphragm wall apparatus may effectively achieve composite utilization of the diaphragm wall (1) in three aspects: mechanics, thermology and electricity, and achieves multi-target effective utilization of shallow geothermal energy on demand and on staggered working hours, thereby improving energy-utilization efficiency.