The construction of gravity observation facilities is an effective way to improve the signal-to-noise ratio of gravity observation data and to enhance the ability of instruments to detect weak signals. However, the gravity station construction tests are often affected by the testing strategy, the natural and site environment, which makes it impossible to accurately assess the construction effect of observation facilities. To this end, This paper collects the long-term observation datas of gPhone gravimeter and co-site seismometer of the four gravity stations in southwest Yunnan, as well as the test data before the construction of Yanziyan station, and uses the PSD-PDF method to calculate and compare the ambient noise before and after the construction of Yanziyan station, and analyzes and discusses the main factors and quantities affecting the test results of the gravity station building. The results show that: (1) the establishment of the observation cave of Yanziyan station can better suppress the 0.5~4 Hz high-frequency noise excited by near-field human activities, with a suppression quantity of 9.1 dB; however, the noise test results in the frequency band of 0.16~0.26 Hz vary greatly (17 dB) due to the influence of microseismic signals excited by far-field waves, and the annual variation (2~5 dB) and seasonal variation (4~8 dB) of the ambient noises are also larger than the noise variation before and after the Yanziyan station builting, which makes it impossible to determine whether the establishment of the observation cave has an inhibitory effect on the noise in the microseismic frequency band; (2) Compared with the test duration, the selection of the ambient noise test period for gravity station is more important, and the ambient noise of the microseismic frequency band from April to May in each year is characterized by a stable low value, which is an ideal ambient noise test window period; (3) The cross-correlation coefficient of power spectral density between gravimeter and co-site seismometer in southwestern Yunnan is 0.98 in the 0.16~0.26 Hz, which can be used for the integrated study of microseismic signals. The above research results can provide methods and basis for gravity station construction test, observation cave construction effect evaluation and joint multi-source data to carry out microseismic signal detection research.