Cracking damage of the sheathing wallboards in screw connections is the typical failure mode of cold formed steel (CFS) structures under seismic effects, which limits the shear capacity and weakens the hysteretic performance of CFS structures. To improve the shear performance of CFS-sheathing screw connections, a novel screw connection with carbon fiber reinforced polymer (CFRP) reinforcement is proposed in this paper. Cyclic tests were conducted on a total of 26 sets of screw connections with different configurations and wall sheathings, and the effects on the failure modes and shear performance of the connections with and without CFRP reinforcement were investigated. The strengthening effects of the sheathing material, panel thickness and end distance on the shear properties of the connections were discussed. The results indicated that (1) except for specimens with 15 mm end distance, CFRP reinforcement can effectively avoid brittle cracking failure of the connections, and the failure mode tended to ductile failure of the bearing and pull-through damage. (2) in addition to the stiffness, the shear strength, deformation capacity, ductility and energy dissipation capacity of CFRP-strengthened connections are significantly enhanced. The effect of CFRP on the shear performance improvement of connections sheathed with gypsum board (GWB) and magnesium glass board (MgO) is greater than that of oriented strand board (OSB), and the strengthening effect is not significantly influenced by the board thickness. A toughness evaluation method for CFRP-strengthened connections was proposed, and the design formulae for the shear strength of the CFRP-strengthened screw connections were recommended based on the load resistance factor design (LRFD) method and allowable strength design (ASD) method.