The Space Plasma Environment Research Facility aims to research the space plasma physics in the laboratory. Two elliptical magnets are used to form a magnetic mirror field simulating the interplanetary magnetic field to investigate the magnetic reconnection at the magnetopause and magnetotail of the earth on the ground. To perform the research, the issues facing the magnets in terms of high pulsed current, vacuum, plasma, and mechanical support must be resolved. The paper presents their design and construction process to settle these issues. A series of measures are adopted to enhance insulation, reduce the gas leakage, and avoid tip discharge, ranging from the dielectric layers to the Inconel spraying. A transition structure considering the effect of the strong pulsed current is designed for connecting the magnet's leads to the cables of its pulsed power supply. In addition, a supporting and motion mechanism is proposed to hold the magnets and drive them to move. The strength of the mechanism is assessed by the static mechanical analysis for the extreme magnetic force load. Meanwhile, a connection scheme compatible with the supporting and motion mechanism is proposed to guide the cables through the vacuum vessel. The great mechanical stress occurring at the interface between the cables and the stainless-steel blocks due to the sheared magnetic force is reduced considerably by a fixing plate. The results in the paper are valuable for designing the magnet conducting a large pulsed current in the vacuum environment for plasma applications.