With advantages of high load-bearing and construction efficiency, concrete-filled steel tubular (CFST) pile has been increasingly adopted in the constructions of the sea-crossing bridge, offshore wind farm and port. The mechanism of the outer steel tube effect on the CFST pile has not been comprehensively studied, which may limit the further extensive applications accordingly. This study systematically investigates the structural behavior on one classic type CFST rock-socketed pile under lateral loading through the finite element analysis, from the pile member behavior to the cross-sectional confinement effect between the constitutive components. The influence of the steel tube on the lateral displacement, critical load, and pile-soil interaction is analyzed. The mechanism of the composite action between the outer steel tube and core concrete throughout the full-loading history has been investigated to clarify the confinement effect of the steel tube to the core concrete. The parametric studies have been conducted to study the relationship between this confinement effect and the cross-sectional steel ratio. The findings may promote more efficient design and construction of the CFST pile under lateral load.