The invention discloses a steel tube-profiled steel sheet-concrete anti-buckling combined shear wall structure and a construction method. The shear wall comprises rectangular steel tubes, an adhesive coating, spiral stirrups, profiled steel sheets and concrete, wherein the two profiled steel sheets are connected between the two rectangular steel tubes and form a sealed stripy groove with side walls of the two rectangular steel tubes on two sides; the spiral stirrup are arranged inside the rectangular steel tubes; the inner surfaces of the rectangular steel tubes and the inner surface of the stripy groove are coated by the adhesive coating; the rectangular steel tubes and the stripy groove are filled with the concrete; the rectangular steel tubes and the profiled steel sheets are respectively bound with the concrete through the adhesive coating. By adopting the structure, the rectangular steel tubes and the profiled steel sheets can be prevented from local buckling outwards, an edge component of the shear wall has very good deformation properties, the steel content of the body of a double-steel plate concrete combined shear wall structure is greatly reduced, and the steel is sufficiently saved on premise that the structural security is ensured.