The invention discloses a heat insulation anchoring structure for water conservancy dam polyurea anti-seepage coatings and a construction method. According to the heat insulation anchoring structure, a threaded rod with the length of 30-150mm is fixed into a screw hole reserved by a concrete casting template through an inner screw at the bottom of the threaded rod, a dam concrete substrate is coated with a polyurea layer, a rigid polyurethane foam with the thickness of 20-100mm is sprayed on the polyurea layer, a glass fiber rib with the diameter of 4-10mm is bound in an intersected manner on the surface of the foam by part of the exposed threaded rod, a tray rapidly covers a threaded rod body by the aid of a structure of the threaded rod body, the glass fiber rib presses on the surface of the rigid polyurethane foam, a rigid polyurethane foam with the thickness of 10-50mm is sprayed on the glass fiber rib and the tray and completely covers the threaded rod, the glass fiber rib and the tray, and an ice-resistant layer with the thickness of 2-6mm is constructed on the foam. The anchoring structure solves the problems of peeling of the polyurea anti-seepage coatings from the dam substrate and cracking, bulging and ice resisting of the heat insulation polyurethane foam.