Typically, if you’re building a tunnel under a body of water, such as the Channel Tunnel connecting the UK and France, it’s actually under the ground under the water. The same tunneling technology that would be used for something like going through a mountain is employed for those, just with the caveat of having to go down first, and having to engineer around the immense amount of water on top.
Other types of tunnels can include submerging the tunnel shell down and then pumping the water out. Those tunnels can either be buried after submerging, or they can be tethered to the sea floor.
Tunnels for San Francisco’s BART system were built in 57 sections on land and sunk into the bay. Once underwater they were connected underwater, any water in the Tunnel was pumped out and the tunnels rest on the floor of the bay, surrounded by sand and gravel.
https://en.m.wikipedia.org/wiki/Transbay_Tube
There are different ways to make tunnels under water in the same way there are to make tunnels under land.
Bored tunnels are the same as bored tunnels under land, they dig though the ground under the water using a tunnel boring machine. The Channel Tunnel was made this way.
Immersed Tube tunnels are roughly analogous to cut and cover tunnels on land. They dig a trench into the bottom on the body of water, then bring in sections of what are essentially a big pipe float them into position over the trench, and fill them with water so they sink. Then they are joined together and covered to protect them and stop them from floating and the water is pumped out. Sometimes the trench is deep enough that the bottom of the water body is flat after the tunnel has been covered (Like a cut and cover tunnel), and other times a ridge is left. The Osreund crossing includes a tunnel that was made this way.
There’s also an idea called a submerged floating tunnel. This is a big pipe like the immersed tube, but instead of being held down to the bottom by stuff piled on top of it, it floats between the surface and the bottom, held down by cables. It’s sort of like an upside down suspension bridge. It would allow for crossing bodies of water that are too deep for normal tunnels.
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