This study proposes a novel frost-proof heating method, which uses a ground source heat pump (GSHP) to generate artificial heating and prevent frost damages of embankment filling materials in cold regions. A direct expansion-GSHP (DE-GSHP) apparatus for embankments was designed and manufactured for experimentation. Consequently, the prototype of the new system demonstrated high performance with daily average heating temperatures above 50 °C in winter and low energy consumption with a theoretical coefficient of performance more than 3.0. The internal temperature in the test soil platform increased, and the calculated thermal influencing radius was 0.87 m and 2.03 m on days 1 and 5, respectively. Frost heave of embankments can be rapidly treated by heating the embankment through distribution of DE-GSHPs with a heat supply capacity of 1.0–2.0 kW and spacing of 2.0–4.0 m. The findings of this study provide significant insights into the methods suitable for thermal maintenance of embankment filling materials using the GSHP, thereby providing a feasible and energy-efficient solution during embankment construction in cold regions to prevent frost heave damages.