Provided are a jetting, expansion and extrusion combined pile, a construction method thereof and a spiral jetting, expansion and extrusion drilling rig used in the method. A pile of the combined pile comprises a pile body (101), an expanded body (103) and a pile end (106). At least one double-frustum-shaped expanded body (103), which is integrally formed with the pile body (101), is arranged on the pile body (101). The expanded body (103) is located in a vertical soil layer position, which has higher deformation modulus and shear strength, of the pile body (101), and at least two wing plates (102) which are uniformly distributed in the circumference direction and basically perpendicular to the axis of the pile are arranged on the pile body (101). The diameter of the pile above the expanded body (103) is larger than or equal to that of the pile below the expanded body (103). The drilling rig comprises an upper section and a lower section, the diameter of the upper section is larger than that of the lower section, and the expanded body can be produced in any required position conveniently. When the expanded body (103) is located at the upper part or in the middle of the combined pile, if the diameter of the pile above the expanded body (103) is larger than that of the pile below the expanded body (103), the consumption of concrete can be greatly reduced.