In view of the first underwater railway shield tunnel, Guangzhou Zhujiang River Shiziyang shield tunnel, the prototype test is carried out against its segmental lining structure by using “Multi function Shield Tunnel Structure Test System”. And the mechanical characteristics of segmental lining structure using straight assembling and staggered assembling are studied deeply. The results show that the mechanical characteristics of segmental lining structure vary from different water pressure. Especially after cracking, the high water pressure plays a significant role in slowing down the growing inner force and deformation. It is also testified that the failure characteristic varies between straight assembling structure and staggered assembling structure. Shear failure often occurs nearby longitudinal seam when using straight assembling.