Pipe-embedded building envelope, which is of particular interest to architects and engineers due to its excellent performances and invisibility characteristic, has been regarded as a potential technology for future buildings. Understanding the impacts of multiple uncertainties associated with design, construction, and operational control on its thermal performances is critical to the development of this burgeoning active insulation technology. Aiming at this goal, an in-depth uncertainty analysis (UA) and global sensitivity analysis (GSA) study was numerically conducted to investigate the influence mechanism of 12 different variables on 5 performance indicators in winter conditions. The UA results indicated that a dual-effect, i.e., better indoor thermal comfort and “zero” or even “negative” thermal load of the exterior walls, could be achieved only when relevant variables were properly selected. Due to the increase in the quantities and types of input variables, as well as the internal heat transfer process became more complicated, the importance rankings of variables obtained by two different GSA methods became different. Therefore, the treed Gaussian process method was proven to be more effective in identifying the uncertain variables. The GSA results stated that heat-source temperature, indoor set-point, charging duration, and thermal conductivity of pipe-embedded layer were the four most significant variables. For heat-source temperature and indoor set-point, there always existed an obvious mutual restriction relationship between them among all indicators except exterior surface heating loss. Meanwhile, the suggested value of the charging duration was no less than 6 h, and the optimal range of the thermal conductivity of pipe-embedded layer given by GSA was 0.5–2.75 W/m·℃. Under the blocking effect of the thermal barrier, the uncertainty of the climate zone on interior surface heating load was greatly reduced, and the climate zone was no longer a key variable affecting the cumulative subcooling duration. Besides, it was proved that the pipe spacing had a great influence on the heat accumulation inside the pipe-embedded layer, pipe location had a slight influence on interior surface heating load and exterior surface heating loss, and the pipe diameter did not influence thermal performances. From the perspective of energy density, the optimal range of the pipe spacing was 100–250 mm. Overall, this study highlighted the positive effect of the pipe-embedded system on the development of new-built and existing buildings towards zero-carbon targets, and also provided useful guidance for its further applications and investigations.