The energy pile is a building energy-saving technology which integrates ground source heat pump and building pile foundation. It has the advantages of economy, environmental protection and saving underground space resources, and its load transfer behavior is different from that of ordinary engineering piles due to thermal-mechanical coupling. Based on the laboratory model test, the thermal-mechanical response of the energy pile in saturated clay foundation under multiple temperature cycles was studied. The temperature field around the pile, the settlement of pile and soil, the additional heating stress of pile and the shaft friction were analyzed. The results show that the temperature of pile and soil decreases along the depth and radial direction respectively, when the temperature rises. The settlement of pile top caused by cooling is greater than the expansion caused by heating. The irreversible accumulated settlement of pile top caused by multiple temperature cycles may affect the safety of superstructure. The settlement of soil around pile in different degrees occurs due to the thermal consolidation. The settlement decreases with the distance from the pile, and the sedimentation rate of the soil decreases with the increase of the number of cycles. After three cycles, settlement at B4 reaches 1.42%D (D is the diameter of pile). The additional stress and the shaft friction of pile caused by temperature load increase gradually with the increase of temperature and number of cycles. When heating, the negative shaft friction occurs in the upper part of the pile and the positive shaft friction occurs in the lower part. When cooling, it is just the opposite. Under the action of the working load, the negative shaft friction area of the pile becomes smaller and the zero-displacement point moves upward gradually. The three-dimensional numerical model established by COMSOL Multiphysics software can better simulate the bearing capacity characteristics of the energy pile under thermal-mechanical coupling. The numerical simulation results are in great agreement with the model test results, which provides some suggestions for experimental design and engineering application.