Vertical shaft sinking machine(VSM) method has many advantages such as high automation degree, fast construction, and less construction field occupation, making it suitable for vertical shaft construction in the denselybuilt area. However, the construction mechanical behaviors such as external loads and caisson structural responses during the construction of VSM caisson are still unclear. The external soil and water loads on the shaft wall, the stress of the main reinforcement of the structure, and the pressure between the segments are monitored during construction to investigate the force and structural response law of the VSM caisson shaft wall, and the load action and structural response law of VSM caisson wall are obtained. The research reveals the following: (1) During the cassion sinking, the shaft wall bears the bentonite slurry pressure. (2) Under the condition of the slurry sleeve sinking, the shaft wall friction resistance value is extremely low, which is close to the shear strength of the bentonite slurry. (3) During milling sinking, the segment expands outward under the action of internal water pressure. (4) During slurry discharge and shaft wall formation, the shaft wall structure shows circumferentially and vertically compressive response. 