The present invention relates to a skid-mounted cold box and its prefabricated structure and assembly method. Each prefabricated structure includes a framework and a first panel that is used to enclose sides of the framework. Ring beams of two adjacent prefabricated structures are connected through bolts on site. A second panel connected through bolts encloses the gap between ring beams of the two adjacent prefabricated structures from sides. The present invention cancels all field welding seams and omits the field welding and nondestructive testing operations. The crane can be dismissed after the upper prefabricated structure of the cold box is lifted into place and bolts corresponding to columns on ring beams are connected. The present invention guarantees the connection strength of steel structures relying on bolt-based connection between ring beams and the second panel connected through bolts guarantees the airtightness of the cold box. This effectively reduces field assembly work and saves time and cost.