A rock stratum double initial support layering method for establishing a large-scale underground structure mainly includes the following steps: excavating the side headings of an arch part, excavating the upper steps on the middle heading of the arch part, setting the double-layer initial supports of the arch part, setting a mud jacking steel pipe, setting an arch springing girder, excavating the lower steps on the middle heading of the arch part, and three-layered excavating the foundation under the middle heading of the arch part and the two side headings of the arch part. The rock stratum double initial support layering method for establishing the large-scale underground structure combines multiple technologies as advanced small pipe, big pipe shed and section steel support with multiple mining excavation technologies such as PBA method, side drifts-support method, CRD method and step method, not only can satisfactorily control the structural deformation and the stratum settlement, but also has the advantages of simple process, convenience for construction and organization, high construction efficiency, saved project cost and the like.