The spray anchor system is commonly used for primary support in underground projects due to its advantages such as fast closure of excavation surfaces, tight connection with the surrounding rock, and high early strength. However, this system has several drawbacks, such as severe pollution, poor working conditions, long construction periods, and high labor costs. In response to the concepts of green construction and prefabrication, this study proposes an innovative composite structure consisting of corrugated steel plates and concrete, namely, corrugated steel–concrete (CSC), which is a prefabricated support structure for underground engineering. The proposed system involves on-site corrugated steel plates and concrete, and the concrete is poured into the corrugated steel plates without using shotcrete. This approach mitigates pollution and improves working conditions. After the introduction to the novel structural system, elaborate Abaqus numerical models are developed to investigate the mechanical performance considering full elastoplastic response until failure. The steel–concrete interfacial connections, as a major factor in composite structures, are carefully studied and discussed based on the delicate interfacial contact model. The deformations, stress distributions, and failure types are analyzed. A parametric analysis is also conducted to expand the efficient range. Theoretical analysis is further carried out, and design expressions are proposed, which are verified to be suitable for design considerations.