An intake-exhaust transport apparatus, a mobile power generation system and an assembling method thereof are provided. The assembling method includes: roughly adjusting a position of the intake-exhaust system in a second direction with respect to the power generation apparatus by the second conveyance; jacking up the intake assembly and the exhaust duct as a whole, to be higher than a height of the power generation apparatus by the lifting mechanism; moving the power generation apparatus to a region under the intake-exhaust system by the first conveyance and adjusting a position of the power generation apparatus in the first direction with respect to the intake-exhaust system; and connecting the intake assembly and the exhaust duct to a top of the power generation apparatus.