The invention discloses a construction method for improving the performance of a coal pillar by means of an infilled wall and relates to the field of coal mine strip mining. Multiple mining ways including lane mining, cut and fill mining and strip mining are combined, the performance of the coal pillar is improved by means of the infilled wall through lateral restraint of the mining coal pillar and sharing of the load of the mining coal pillar, the relation between reduction of the size of the coal pillar and stability of the coal pillar is coordinated, and the strip mining rate is increased; a pressure sensor arranged in a roadway can effectively monitor the stability of the infilled wall, so that a basis is provided for recovery of the mining coal pillar; during recovery of the mining coal pillar, due to the fact that a working face main haulage roadway and a main rail roadway are dug in the two sides of the mining coal pillar, support is needed on the side of a coal wall only, the side of the infilled wall does not need support, and therefore roadway support cost is reduced.