In recent years, energy piles have been widely used in the collection of shallow geothermal energy. However, the engineering characteristics of the soil and the mechanical behaviour of the pile are affected by temperature, particularly in clay. To explore the influence of heating–cooling cycles on the thermo-mechanical response of an energy pile in saturated clay, a laboratory model test was designed. The energy pile in saturated clay was subjected to ten heating–cooling cycles. A fibre Bragg grating (FBG) system was adopted to monitor the pile strain. Meanwhile, pile and soil temperature, pore water pressure and pile top displacement data were collected using a dynamic acquisition instrument. The results show that FBG sensors can achieve good results in measuring the axial strain of a pile. The distribution and transmission of thermally induced axial force and stress are affected by soil properties and pile constraints. Temperature cycling will lead to the thermal consolidation of saturated clay, improving the bearing performance of energy piles, and to an irreversible settlement of the energy pile.