Cold-formed steel (CFS) walls with novel sheathing have been of growing interest in hysteretic behavior. This study investigated the effect of diagonal bracings and sheathing magnesium crystal boards (MCBs) on the hysteretic behavior of CFS walls. Furthermore, a novel refined vertical loading system was proposed to solve the key problems caused by conventional distribution beam loading systems. Monotonic or hysteretic loading was conducted on six full-size CFS walls sheathed with MCB and one pure CFS frame wall to obtain the failure modes, yield loads and corresponding displacements, peak loads and corresponding displacements, and lateral stiffness of the specimens. Finally, the failure mode of the MCB located in the vertical seam was observed and discussed, and the influence of the flexible diagonal brace on the lateral bearing capacity and ductility of the CFS wall was further analyzed.