The invention discloses an underground continuous wall milling connector and relative construction method. The inventive connector comprises two wall ends with opposite groove sections in nearby two sections of underground continuous walls, while a connector body is arranged between the two wall ends, the wall ends and the end of the connector body are arranged with corrugated concave-convex elements, while the corrugated concave-convex elements on the wall ends are meshed with the corrugated concave-convex elements on the end of connector body, the connector body via the meshed corrugated concave-convex elements is fixed with the underground continuous walls at two ends. And the construction method comprises that (a), digging the groove hole used to build two nearby walls, (b), arranging connector plate, (c), irrigating wall concrete, (d), forming guiding groove, (e), milling connector, (f), washing connector, (g), irrigating connector. The inventive connector has reasonable design, simple structure and construction, better anti-leakage property and low cost.