The present invention relates to a well wall with steel plate water-resisting layer. It is formed from well wall load-bearing layer built-up by using concrete (or rock stone, metal and composition of rock stone, metal and concrete), water-resisting layer and heat-insulating layer, the water-resisting layer is positioned between the load-bearing layer and heat-insulating layer, said heat-insulating layer is close to well wall, and the water-resisting layer is made up by welding steel plate, the inner surface of said steel plate is coated with the materials with a certain flexibility, such as asphalt and rubber, etc. and the heat-insulating layer is made up by laying low-density heat-insulating materials, such as foamed plastics and foamed rubber. Besides, said invention also provides its construction method and concrete steps.