For the economic and reasonable application of high strength composite shaft lining of steel and concrete, the mechanical characteristic of this kind of structure were studied. First of all, according to the similarity theory, the shaft lining model is designed, then making the specimen and the loading test are put into effect. The results show that the combined action of inner and outer steel tube and middle concrete improves their respective performance. In shaft lining structure the stability of steel tube would be enhanced and the brittleness of high strength concrete would be improved also, so shaft lining structure shows fairly plastic feature when it is destroyed. Moreover, because of the restraint function of double-layer plate, the concrete in shaft lining structure completely is in triaxial compression stress state, the compressive strength can improve 1.53 ~ 1.90 times more than the concrete under uniaxial compression. The bearing capacity of shaft lining also increased greatly. Therefore, it is proposed that the improvement coefficient of the concrete’s compressive strength should be considered in the strength calculation of high composite shaft lining structure of steel and concrete.