A design scheme of prestressed steel-lined reinforced concrete (RC) penstock laid on the downstream surface of dam is proposed, and the ultimate bearing capacity of the penstock is analyzed through nonlinear finite element theory. Longkaikou hydropower station is taken as a case study. The law of stress distribution of the penstock structure on the downstream surface of the dam is discussed. Prestressed steel-lined RC penstock is compared with common steel-lined RC penstock in terms of stress, concrete consumption, and steel consumption. Results show that prestressed steel-lined RC penstock on the downstream surface could save investment, avoid cracking, and is of good durability, thus is worth of wide application and promotion.