In this paper, a high-efficient and three-dimensional compact heat pump system integrated with the concentrated photovoltaic plus fins (CPV/fin-SAHP) is constructed and built. Smaller space occupation and higher energy utilization are realized. The mathematical model is completed and validated by experimental data. By changing the throttling device and adjusting the mass flow rate, the system performance is improved. From the results, the exergy efficiency, heating capacity, total output, COPPVT, and COPth of the CPV/fin-SAHP system are increased by 7.92%, 13.2%, 11.01%, 4.73%, and 7.12%. Moreover, compared with traditional single-source heat pumps, the CPV/fin-SAHP achieved the highest total output and COPPVT, showing great competitivity and potential. Then two-dimensional environmental variable coordinates are established to explore the compound impact of different ambient factors, and the capacities of the three systems with adjusted opening degrees are also comparatively analyzed. In general, wind speed and ambient temperature have greater impacts on the finned structure system, while the irradiance is dramatically affecting the PV-SAHP system. The compact CPV/fin-SAHP system is less dependent on a single ambient element, showing satisfied performance under various operating ambient and presenting the most potential in comprehensive ability.