This study investigates the impact that different magnitudes and combinations of thermal and axial mechanical loads have on the mechanical behaviour of energy piles in saturated sand. The work is based on the results of a series of thermo-hydro-mechanical finite element analyses, which are compared with centrifuge data, and parametric numerical runs. The analyses prove that an increase in heating loads induces a significant amount of stress and displacement in energy piles, with a remarkable mobilisation of their shaft and end-bearing capacity. Temperature variations up to ΔT = 50 °C induce axial stress up to σth = 716 kPa and pile heave up to dyth = -14.09 mm. These temperature variations mobilise an average side shear resistance and an end-bearing load normalised with respect to those mobilised at failure up to qs,ave/qs,ULT,ave = -14.11% and Qb/Qb,ULT = 27.35%, respectively. The magnitude of these phenomena depends on the significance of the applied temperature variation, the significance of the applied mechanical load to the foundation head prior to thermal loading with respect to the pile axial capacity and the soil response to additional loading/unloading processes. These aspects serve a major role in the evolution of the foundation constraint, which governs the mechanical performance of energy piles when subjected to thermomechanical loads.