In engineering practice, energy pile foundations are often designed for the lifetime of the building. Thermal exchange between a pile and the surrounding soil depends on the annual energy needs of the building, as heating mode in winter and cooling mode in summer. Thus, energy pile foundations will undergo a heating–cooling cycle per year. In the present work, an experimental method based on a small-scale pile model installed in saturated clay was used to study the thermo-mechanical behaviour of energy piles under thermal cycles. Thirty cycles were applied (to represent a 30-year period if the daily cycles are neglected) while a constant pile head load was maintained. Four tests were performed corresponding to pile head loads equal to 0, 20, 40 and 60% of pile resistance. The results obtained show an increase in irreversible pile head settlement with the thermal cycles. In order to interpret the experimental results better, the finite-element method is used to simulate the experiments numerically. This allows the important role of pile thermal contraction/expansion in the pile–soil interaction under thermo-mechanical loading to be highlighted.