The invention relates to a curtain wall exposed and hidden frame connecting auxiliary frame, a curtain wall system and a construction method thereof. The connecting auxiliary frame comprises two strip-shaped auxiliary frame units of mirror symmetry and a transforming auxiliary frame detachably connected with the auxiliary frame units; the transforming auxiliary frame comprises two strip-shaped exposed frame press plate units and strip-shaped decorative buckling covers, wherein the strip-shaped exposed frame press plate units are arranged in a mirror symmetry and correspondingly connected with the auxiliary frame units. The cross section of the exposed frame press plate units is in a J shape and comprises a vertical plate and a transverse plate, wherein a clamping strip connected with a connecting slide groove in a matched mode is arranged at the upper end of the vertical plate, a second through clamping groove is formed in the outer end of the upper surface of the transverse plate in the length direction, and a third through clamping groove is formed in the side face of the outer end of the transverse plate in the length direction, and the decorative buckling covers are connected with the third through clamping grooves in the two exposed frame pressing plate units through convex strips on the two side walls. The connecting auxiliary frame is simple in structure and reasonable in design and is combined with the exposed frame press plate units to achieve mutual transformation between an exposed frame glass curtain wall and a hidden frame glass curtain wall.