The invention provides an underground station exit and entrance structure and a construction method thereof, and belongs to the field of rail transit. The underground station exit and entrance structure comprises a bottom plate, a top plate and side walls; the bottom plate comprises a sinking section, a climbing section and a horizontal passage section, wherein the sinking section is positioned below the elevation line of the maximum scouring depth, and a retaining wall capable of forming a closed structure is arranged between the sinking section and the ground; and a supporting surface is arranged between the retaining wall and the sinking section. According to the underground station exit and entrance structure and the construction method thereof, the sinking section, close to the ground, of the bottom plate of the exit and entrance structure is arranged below the elevation line of the maximum scouring depth, and the retaining wall capable of forming the closed structure is arrangedbetween the sinking section and the ground, so that the erosion prevention problem of the exit and entrance structure under a flood working condition is effectively solved, the situation that the bottom plate structure is disengaged and cantilevered due to a soil body under the bottom plate of a conventional exit and entrance structure being scoured by water flow under the maximum scouring depth is avoided, the safety of the exit and entrance structure is ensured, and the underground station exit and entrance structure and the construction method thereof can be applied to the construction of underground stations around flood flowing areas or flood discharge rivers.