The invention discloses a device for improving construction efficiency of diaphragm wall filling sand bags. The device comprises a sand box, a sand discharge control valve, a sand loading platform and a conveying belt, wherein a sand outlet is formed in one side of the sand box; the sand discharge control valve is mounted on the sand outlet; the sand loading platform is arranged just below the sand outlet; and the conveying belt is arranged on one side of the lowest point of the sand loading platform. A method for loading mechanically and throwing the sand bags by the conveying belt replaces manual sand loading and manual sand bag throwing, and is particularly suitable for construction of diaphragm walls which have deep and thick sand layers under the conditions that the construction period is short and the effect is urgently required to be improved, construction time of sand bag throwing for the diaphragm walls is expected to be shortened, and probability of accidents due to poor quality such as necking caused by collapse of slot walls of the diaphragm walls is reduced.