"constitute EU law an independent and overriding source of domestic law"

The OED, which notes that the entry "has not yet been fully updated (first published 1893)" gives

constitute, v.

†1.a. transitive. To set, place (in a specified state, situation, condition, etc.) Obsolete.

1490 W. Caxton tr. Eneydos xxviii. H ij b The longe sorowe mortalle in whiche was constytuted the faire Elysse or Dydo.

[...]

1875 H. E. Manning Internal Mission of Holy Ghost vi. 152 The Council of Trent, after having weighed long whether to say man was created in grace, finally determined to say that man was constituted in grace.

And

†b. To set up (in an office or position of authority). Obsolete (cf. 2.)

1616 J. Bullokar Eng. Expositor Constitute, to ordaine, to appoint.

[...]

?1720 Wonderful Wonder 2 He hath been constituted by the higher Powers in the Station of Receiver-General.

And - which is more applicable to your question:

3.a. To set up, ordain, establish, appoint, determine (a law, regulation, etc.). ? Obsolete.

1535 T. Starkey Let. in Eng. in Reign Henry VIII (1878) i. p. xix The wych sayn Jerome playnly affyrmyth to be constytute in remedium scismatis.

[...]

1710 H. Prideaux Orig. & Right Tithes iv. 186 Let this be constituted..as firmly, as this Grant is constituted.

It is in sense 3. (and/or 1.b.) that "its effect is to constitute EU law an independent and overriding source of domestic law." is used.

You will note that although 1b is marked as obsolete, and 3. is marked as "possibly/probably obsolete" the law (and your example is one of legal language) has decided that "constituted" is worthy of being re-introduced. (I tend to agree)

EDIT 17:00

6. To make (a person or thing) something; to establish or set up as. (With object and complement) Cf. 2.

1534 T. More Treat. Passion in Wks. 1283/1 As by the disobedience of one manne, many be constitute and made synners.

[...]

1873 W. Black Princess of Thule vi. 81 He had constituted himself her companion.

To your question of "is it wrong?" I can say the construction shows ample usage by reputable legal authorities (state supreme court opinions, appeals court opinions, etc), which would suggest it is perfectly appropriate to use in legal settings.

Below are several of many, many examples to be found online. N.B. These are all used in a context of legal or political governance, as is your original quote. There are even several examples of the specific legal construction you ask about (something "constitutes a law a _____"), one of which I have included here. You can find others at the preceding link.

From the Federalist Papers. Not a modern source, to be sure, but interestingly this sentence also uses the construction to describe primacy of authority.

In quality of emperor, he possesses no territory within the empire, nor receives any revenue for his support. But his revenue and dominions, in other qualities, constitute him one of the most powerful princes in Europe. Link

From a 1923 Oklahoma Supreme Court decision:

...the fact of ownership alone does not constitute it a homestead if he has never resided thereon.... Link

From a 1943 decision by the Missouri Court of Appeals:

The next issue to be determined is... whether the fees charged and collected are so excessive as to constitute the ordinance a revenue measure in fact. Link

From the European Communities Act 1972:

Where a testator by his will appoints a minor to be an executor, the appointment shall not operate to vest in the minor the estate, or any part of the estate, of the testator, or to constitute him a personal representative for any purpose, unless and until probate is granted to him in accordance with probate rules. Link

From a 1920s document held by the Ohio Attorney General, referring to circumstances that...

...are such in my opinion as constitute him an assistant within the meaning of the term as used in paragraph 8 of Section 486-8, General Code Link

From a legal case (Dodge v. Brooks):

Does the fact that a man has a copy of the registry in his possession, and checks it off as people vote, does that constitute him an assistant inspector, or in any way interfere with the... progress of the election? Link

And in the same case:

I think he was treasurer of a private fund; he may have constituted himself treasurer.Same link

From a 1957 law passed in the state of Washington, stipulating actions to be taken if a minor's...

...delinquency is such as to constitute him a menace to the health, person, or property of himself, ... Link

From an 1896 decision by the Supreme Court of North Carolina:

...but if there were any grounds for doubting the authority of the Governor to issue a commission to the judge who presided, and to thereby constitute him a de jure officer in the discharge of that duty, the fact that the Governor appointed him and the public (846) submitted to his authority constituted him de facto judge of the court which he held, and rendered all of his acts in that capacity as binding and valid as if he had acted de jure. Link