Integrating the heat exchanging and load-bearing functions of deep foundations has been very useful in terms of energy saving in buildings. However, it has simultaneously made it challenging to design and understand the behavior of these energy piles (EPs). Although many studies have investigated the thermomechanical behavior of EPs in recent years, researchers still emphasize the need to perform further studies for a more accurate and complete understanding of EPs. One of the main goals of studying EPs is to investigate their thermal and thermomechanical behavior and the various parameters that affect them. This study presents the results of physical modeling of 1-g scaled EP in dry sand with different relative densities, temperatures, and various loading states. The outstanding feature of this research is to study the effect of changes in soil relative density (Dr) on the pile thermomechanical behavior. Thus, the soil box has been prepared with two relative density percentages, i.e., 48 and 85%. The parameters measured during the tests include displacements of the pile head and base, axial strains generated in the pile, and temperature changes along the pile and its surrounding soil, which are used to calculate the stresses and forces generated in the pile to evaluate its behavior as well as changes in its ultimate bearing capacity. This study indicated an increase in the ultimate bearing capacity of the pile due to an increase in its temperature. The maximum rate of increase recorded for the pile's ultimate bearing capacity (UBC) was calculated to be 8% and 20% at relative densities of 48% and 85%, respectively. In addition, the type and magnitude of stresses generated in the pile under different loads were obtained, and the effect of critical parameters such as the density of the surrounding soil, the thermal changes of the pile, and the type of loading on the pile were evaluated.