One-of-a-kind experimental and numerical investigation is provided in this paper about energy sheet pile walls: earth retaining structures that embed heat exchanger probes within piles for the exploitation of shallow geothermal energy. The study resorts to the results of full-scale in situ tests and coupled three-dimensional thermo-mechanical finite element analyses of an energy sheet pile wall constructed in an underground station. In this context, an investigation about the influence of thermal boundary and initial conditions on thermo-mechanical aspects governing the behaviour of the energy sheet pile wall is performed. Thermal boundary conditions associated with the field environment and the geothermal operation of some energy piles constituting the wall are addressed. Thermal initial conditions associated with the undisturbed ground temperature field are also considered. Based on a comparison between the experimental and numerical results, criticalities associated with the analysis and modelling of the thermo-mechanical behaviour of energy sheet pile walls are highlighted.