The European XFEL provides femtosecond X-ray pulses with a MHz repetition rate in an extended photon energy range from 0.3 to 30 keV. Soft X-rays between 0.3 and 3 keV are produced in the SASE3 undulator system, enabling both spectroscopy and coherent diffraction imaging of atoms, molecules, clusters, ions and solids. The high repetition rate opens the possibility to perform femtosecond time-resolved photoelectron spectroscopy (TR-XPES) on solids. This technique allows the simultaneous understanding of the evolution of the electronic, chemical and atomic structure of solids upon an ultrafast excitation. The realization with soft X-rays requires the use of MHz FELs. In this contribution, we present the mechanical design and experimental realization of the SXP instrument. The main technical developments of the instrument components and the TR-XPES experimental setup are described.