Protective structure, acted as an important subsystem of internal insulation system in cryogenic wind tunnel, is in possession of such functions as isolating insulation unit from cryogenic media, reducing cold energy loss and forming the airflow channel. However, the protective structure is continuously subjected to the temperature load and alternating pressure load during the operation of wind tunnel. Thus, the design and strength check on protective structure are intensively investigated. Firstly, the protective structure is designed and the corresponding sizes and materials are determined. Then, according to the worst working condition of cryogenic wind tunnel, the three dimensional finite element model of protective structure is built and the strength check is conducted. Finally, the alternating pressure impact test under cryogenic environment is carried out on protective structure. The obtained results show that the designed protective structure is conformed to the strength requirement of cryogenic wind tunnel in service, but the cold energy loss occurs nearby the support component, which can pay the way for building the large cryogenic wind tunnel of our country in the future.