An electromagnetic shielding module, an electromagnetic shielding structure and a construction method for the electromagnetic shielding structure are disclosed. The electromagnetic shielding module includes a shielding layer and a first magnet layer, where the first magnet layer is bonded fixedly to the shielding layer. The electromagnetic shielding structure includes: a wall mounting structure, which includes a conductive frame and is arranged on a surface of a wall body to be shielded; and a plurality of the electromagnetic shielding modules mentioned above. The construction method is used for constructing the electromagnetic shielding modules on the wall body to form a continuous shielding body.