The poor seismic performance of thin-walled cold-formed steel (CFS) structures has been often observed in high seismic regions because of their low ductility, insufficient energy dissipation capacity. The work presented in this paper aims to improve the seismic performance of CFS and propose the innovative rocking cold-formed steel frame (RCFSF) by releasing the constraints at the foundation. Compared with the traditional cold-formed steel frame (CFSF), the RCFSF was installed with buckling restraint steel plates (BRSPs) to connect the columns and foundation, which can dissipate energy through the tensile and compressive deformation under the action of the earthquake. A pseudo-static test program was carried out to investigate the seismic performance of the one-third scaled single-bay three-story RCFSF. The results indicated that the plastic damage in RCFSF was greatly reduced and the ductility of the RCFSF can satisfy the seismic design requirements. The damage was mainly concentrated in BRSPs that can be easily replaced, and the local buckling of the beam-to-column joints was observed when loaded to the large lateral displacement. The numerical analysis was performed by ABAQUS, and the analysis results of the fine finite element model are consistent with the test results. It was found that the energy dissipation capacity of the RCFSF is better than those of the CFSF with the rigid column foot. With increasing the width of the beam flange, the local buckling of the beam-to-column joints can be reduced. The high seismic performance of the RCFSF can be achieved by rational design.