Energy pile foundations play the dual role of providing structural support to buildings and acting as heat exchanger units. Thus, they are subjected to different mechanical loads from the buildings and the cyclic temperature changes encountered in optimized hybrid systems. However, the effects of mechanical loading levels on the thermo-mechanical behaviour of energy piles under cyclic temperature changes are still to be investigated fully. This paper fills this knowledge gap through a series of model scale tests where the effects of different mechanical loading levels were investigated over multiple cooling-heating cycles in over-consolidated saturated clay. In this respect, ten cooling-heating cycles were applied while the pile's head load was maintained at 0, 25%, and 50% of the pile's ultimate bearing capacity, respectively. After ten thermal cycles, the pile's normalized settlement reached 0.05%, 0.37%, and 1.19%, respectively. The ultimate bearing capacity was 555 N, 535 N, and 520 N, respectively. The results indicate that the increase in load levels exacerbates the irreversible settlement while reducing the bearing capacity of the piles. Moreover, it also affects the stress distribution within the pile and further develops internal tension. The results from this study can be used for qualitative analysis of energy pile design.