The invention discloses a disassembly-free pipeline system of a pipe jacking machine and a construction method thereof, which solves the problems of frequent disassembly and assembly of pipelines andlow construction efficiency in construction of the pipe jacking machine in the prior art. The system comprises a shield body, a pipe section, a pushing device, a pipeline retraction device and a guidedevice, wherein the pushing device pushes the pipe section and the shield body to move forwards; a pipeline is wound on the pipeline retraction device; a shield body lead groove is arranged on the outer side wall of the shield body; the outer side wall of the pipe section is provided with a pipe section conducting wire groove, a pipeline passes through the guide device and extends into the shieldbody through the pipe section conducting wire groove and the shield body conducting wire groove, and both the shield body conducting wire groove and the pipe section conducting wire groove are provided with sealing elements. Compared with the prior pipe jacking method construction, the pipe jacking method has the advantages that the pipe jacking method construction can be carried out continuouslyin the jacking process without dismantling pipelines, the construction period is shortened, the working efficiency is improved, the engineering advantage is great, the cost is saved through the disassembly-free pipeline system of the pipe jacking machine and the construction method thereof, and the construction safety factor is improved.