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This is a quote from Paul Dirac:

It seems to be one of the fundamental features of nature that fundamental physical laws are described in terms of mathematical theory of great beauty and power, needing quite a high standard of mathematics for one to understand it. You may wonder: Why is nature constructed along these lines? One can only answer that our present knowledge seems to show that it is so constructed. We simply have to accept it. One could perhaps describe the situation by saying that God is a mathematician of a very high order, and He used very advanced mathematics in constructing the universe. Our feeble attempts at mathematics enable us to understand a bit of the universe, and as we proceed to develop higher and higher mathematics we can hope to understand the universe better.

I can't get my head around the phrase "so constructed".

from the Cambridge dictionary for the word construct:

to build something or put together different parts to form something whole. to put the different parts of something together in order to make it.

But I don't see any connection. Can anyone tell me what is the meaning of "so constructed?"

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Another way of phrasing could be "... Our present knowledge seems to show that it is constructed in this way", that it is made with this way (with mathematics being so important)

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This usage of "so" is somewhat antiquated and rarely (but still occasionally) found in modern English. The progression is:

"... that it is so constructed"

"... that it is constructed so" (sounds like Shakespeare!)

"... that it is constructed like so"

"... that it is constructed like that" (most modern form)

"... that it is constructed the way it is" (also acceptable)

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