Accurate soil moisture (SM) estimates with high spatial resolution are highly desirable for agricultural, hydrological, and environmental applications. This study developed a two-step reconstruction approach to obtain a high-quality and high-spatial-resolution (0.05°) SM dataset from microwave and model-based SM products, combining Bayesian three-cornered hat (BTCH) merging and machine/deep learning downscaling algorithms. Firstly, a three-cornered hat (TCH) method was used to analyze the uncertainty of seven SM products on four main land cover types in the Pearl River Basin (PRB). On this basis, the SM products with low uncertainty were merged using the BTCH method. Secondly, two machine/deep learning algorithms (random forest, RF, and long short-term memory, LSTM) were applied to downscale the merged SM data from 0.25° to 0.05° based on the relationship between SM and auxiliary variables. The overall performance of RF and LSTM downscaling models with/without antecedent precipitation were compared. The merged and downscaled SM results were validated against in situ observations and the China Meteorological Administration (CMA) Land Data Assimilation System (CLDAS) SM data. The results indicated the following: (1) The BTCH-based SM estimate outperformed the parent products and the AVE-based SM estimate (the arithmetic average), indicating that BTCH is a fusion approach that can effectively reduce data uncertainties and optimize weights. (2) The optimal time scale for the cumulative effect of precipitation on SM was 35 days during 2015–2020 in the PRB. SM estimations using RF and LSTM downscaling algorithms both had substantial improvement by considering the antecedent precipitation variable, both at the 0.25° and 0.05° spatial scales. Feature importance assessment also revealed the most important role of antecedent precipitation (30.01%). Moreover, the LSTM model with antecedent precipitation performed slightly better than the RF model with antecedent precipitation. (3) The downscaled SM results all mitigated the overestimation inherent in the original SM data, though they were inevitably limited by the performance of the original SM data and difficult to surpass. The developed two-step reconstruction approach was effective in generating an accurate SM dataset at a finer spatial scale for wide regional applications.