A method of constructing a pile foundation, wherein a foundation structure is built on the ground, and has at least one through hole, and a connecting member fixed to the foundation structure, adjacent to the hole, and having at least one portion projecting upwards; a pile is inserted through the hole; and a number of thrusts are applied statically on the pile, to drive the pile into the ground, by means of a thrust device, which is located over the pile, cooperates with a top end of the pile, and is connected to the projecting portion of the connecting member which, when driving the pile, acts as a reaction member for the thrust device.