To cater to the problems of a poor working environment, a large amount of rebound, and the high energy consumption of sprayed concrete in tunnel engineering, this paper proposes a new support scheme with a steel corrugated plate combined with mold bag concrete. Analytical solutions of stresses for steel corrugated plate and mold bag concrete were deduced based on the thin-walled cylinder, and then their strength safety factors were presented. Subsequently, a series of numerical simulations were conducted to investigate the mechanical performance of the third ring of the main structure based on the ‘load-structure’ 3D model. The numerical results were verified using the classical theoretical analysis and the proposed model, and then parametric studies were performed through the numerical method. Finally, field tests in a circular shaft were carried out to verify the feasibility of the structure and process and the engineering effect. The results show that the combination of steel corrugated plate and mold bag concrete is feasible and can realize rapid support technology for underground engineering, which provides a new idea for the supporting technology of underground engineering such as tunnels.