Thermo-active diaphragm walls that combine load bearing ability with a ground source heat pump (GSHP) are considered to be one of the new technologies in geotechnical engineering. Despite the vast range of potential applications, current thermo-active diaphragm wall designs have very limited use from a geotechnical aspect. This paper investigates the wall–soil interaction behaviour of a thermo-active diaphragm wall by conducting a thermo-hydro-mechanical finite element analysis. The GSHP operates by circulating cold coolant into the thermo-active diaphragm wall during winter. Soil contraction and small changes in the earth pressures acting on the wall are observed. The strain reversal effect makes the soil stiffness increase when the wall moves in the unexcavated side direction, and hence gives different trends for long-term wall movements compared to the linear elastic model. The GSHP operation makes the wall move in a cyclic manner, and the seasonal variation is approximately 0.5–1 mm, caused by two factors: the thermal effects on the deformation of the diaphragm wall itself and the thermally induced volume change of the soil and pore water. In addition, it is found that the change in bending moment of the wall due to the seasonal GSHP cycle is caused mainly by the thermal differential across the wall during the winter, because the seasonal changes in earth pressures acting on the diaphragm wall are very limited.