To improve the construction efficiency and safety of shaft boring machines (SBMs) under freezing conditions in soft and water-rich complex strata, this study investigates key technologies for excavation and support construction based on the mechanical characteristics of frozen rock masses, focusing on optimizing cutting parameters and support processes to establish a systematic technical scheme for frozen shaft construction. Full-scale experiments and parameter optimization analyses were conducted to explore the effects of cutting depth, drum rotation speed, and traction speed on rock-breaking efficiency and construction stability, and a high-efficiency shaft wall support model was proposed. The results show that the optimized low rotation speed and shallow cutting depth cutting process reduces cutting specific energy consumption, improves excavation efficiency, and effectively minimizes frozen wall disturbance, thereby enhancing construction stability. Meanwhile, the adoption of a double-layer reinforced concrete shaft wall structure, combined with an external synchronous support method and an internal segmented slip-forming process, significantly improves shaft wall support quality. Additionally, the "excavation–support–muck removal" synchronous construction mode enhances overall construction efficiency. The research findings provide technical support for shaft construction in soft and water-rich complex strata under freezing conditions and serve as a reference for optimizing similar engineering projects.