The invention provides a connection structure of assembly type steel pipe concrete columns and an assembly type shear wall and a construction method of the connection structure. The connection structure comprises the assembly type composite heat insulation module shear wall, the assembly type square steel pipe concrete columns with anchorage plates, column side studs, semicircular ribbed grooves in the side faces of the shear wall, and a high-strength grouting material. The structure is superior to ordinary rural dwelling structures in anti-seismic property, and a system with two seismic fortification lines is formed. In addition, the final damage belongs to ductile failures, and the situation that due to the fact that part of the structure or part of members are damaged, the whole system is collapsed is avoided. According to the square steel pipe concrete columns with the anchorage plates and the short studs arranged on the side faces and the shear wall with the semicircular ribbed grooves, the assembly type shear wall and a light steel frame are connected firmly, the integrity is good, assembly is easy, the construction period is short, no new building waste is generated during construction, the requirements for energy saving and environmental friendliness are met, the requirements of dwellings for industrialization and scale production are also met, and the connection structure is a novel wall connection structure suitable for seismic resistance, energy saving and assembly integration of current rural low-rise buildings.