To improve the failure resistance of the lining and make use of the retaining structure, this paper proposed a novel method of adding the key joints to connect the lining with the retaining structure. Usually, the joint is the weak point of the whole structure. The failure mechanism of key joints significantly influences the design and safety of the prefabricated structure. In this study, full-scale loading tests were conducted on three types of key joints: sleeve joint, spiral stirrup joint, and U-shaped rebar joint. The joint deformation, failure mechanism, concrete strain, and reinforcement strain are investigated. The results demonstrated that the deformation and failure process of the key joints can be divided into four stages. The flexural-shear failure caused by the joint opening and the sliding of lining is considered as the main failure mode of the key joints. The U-shaped rebar joint exhibited the best mechanical performance. Furthermore, the finite element modes were created to analyze the influence of axial force and the reinforcement diameter. Combining the test and numerical analysis results, the failure mechanism was revealed. In addition, the joints’ loading-carrying capacity was increased with the increase of axial force due to the axial force limiting the joint opening. The research results provide a theoretical basis and reference for the new-type prefabricated pile-wall composite structure (PPCS).