The invention relates to a composite self heat insulation brick and a construction method thereof, and belongs to the technical field of construction material. The heat insulation brick comprises a brick body which is provided with a structure which is in mutual tenon intercalation with an adjacent brick and a heat insulation plate which is arranged in the brick body. The brick body is provided with two layers of vertical through holes which are parallel to and are respectively adjacent to the two external side walls of the brick body. The upper surface and the lower surface of the brick body are respectively provided with two convex ribs and grooves which are in mutual tenon intercalation with a corresponding structure of the adjacent brick, and the vertical through holes penetrate through the convex ribs and the grooves which are arranged at the corresponding position. The heat insulation bricks of the invention not only make use of heat insulation material with static heat insulation performance, but also can be mutually penetrated by the vertical through holes of each heat insulation brick to form an air curtain with generating chimney effect and dynamic heat insulation performance, therefore, the heat insulation performance is further improved, and the invention is suitable for energy saving.