The invention relates to an oil storage depot for a main roadway of a coal mine in a closed pit, an oil storage method thereof and a construction method thereof, pertaining to the technical field of oil storage. Problems of a conventional underground oil storage depot such as great construction difficulty, high cost, damage of high-frequency alternating stress upon a depot body during injection-production are resolved. The oil storage depot comprises a depot body and an artificial dam body. The depot body is built in the main roadway of the coal mine in the closed pit. The artificial dam bodyis used for sealing the depot body. The depot body comprises an overall structure composed of surrounding rocks of the main roadway, a concrete spray layer and a steel plate layer. The top of the depot body is equipped with an injection and oil extraction pipeline and a pressure-regulating pipeline. The bottom of the depot body is equipped with a water drawing and injection pipeline. The injectionand oil extraction pipeline and the water drawing and injection pipeline are both equipped with electric control valves. The electric control valves can regulate flow amount of oil in the injection and oil extraction pipeline and flow amount of water in the water drawing and injection pipeline so as to control the total volume of oil and water in the depot body to remain unchanged. Provided are an oil storage method thereof and a construction method of the oil storage depot. Therefore, utilization rate of underground space is increased. Construction difficulty and cost are lowered. Service lifetime of the oil storage depot is prolonged.