The present invention relates to a geothermal heat exchange system and a method of constructing a geothermal heat exchange system, and more specifically, to a geothermal heat exchange system which is to be installed in a borehole in the ground, the borehole being divided into a ground surface section and a shallow geothermal source section, the shallow geothermal source section of the borehole, which is hardly influenced by the atmospheric or ground surface temperatures, is filled with conventional heat conductive grouting material with high thermal conductivity, and the ground surface section of the borehole is filled with thermal insulation grouting material or thermal insulation cartridges to prevent the heat transferring medium in the geothermal heat exchange system, which has the geothermal heat obtained from the shallow geothermal source, from losing heat in the winter time or obtaining heat in the summer time when it passes through the ground surface section which is much influenced by the atmospheric or ground surface temperatures, thereby a geothermal heat exchange system that can increase the acquisition rate of geothermal energy, and a method of constructing the geothermal heat exchange system.