A new type support structure combined with compressible crushed stone and high-strength pre-stressed anchor cable is proposed which is suitable for deep inclined shaft construction using shield method with great depth. Different conditions in terms of liner combined with crushed stone and high-strength pre-stressed anchor were simulated. The effect of the combined support was studied by analyzing the plastic zone development of surrounding rock, convergence of surrounding rock and internal force of segmontal lining. Moreover, the support mechanism of combined support was revealed from movement characteristics of the crushed stone and displacement vector of the anchored surrounding rock. The results show that only the yielding effect of crushed stone cannot promise the safety of the liner, especially when the creep effect of surrounding rock was considered. The combined support can not only improve the bearing capacity of the surrounding rock, but also effectively absorb the creep deformation of the surrounding rock. The support mechanism of combined support consists of two parts: the yielding effect of crushed stone and surrounding rock reinforcement of anchor cable. The yielding effect of crushed stone was attributed to the mutual squeezing effect and movement effect, while the support mechanism of anchor cable was attributed to reinforcement effect of anchor cable on the surrounding rock. The results have a certain reference value for the design of support structure of shield constructing deep tunnel in the future.