Uncertain measure, which is used to indicate the degree of belief that an uncertain event may occur, is a set function satisfying the normality, duality, and subadditivity axioms. Although the tools of uncertain measure, uncertainty space, and uncertain variable have been well developed and became the foundations of uncertainty theory, there is no study on how to construct the uncertainty space for an uncertain variable, which seriously hinders the applications of uncertainty theory in practice. In this paper, we propose an expert knowledge-based construction approach for uncertainty space with maximum-mean uncertain measure, which takes the maximum and mean operations on confidence function.