Energy underground structures, such as energy shafts and tunnels, are a class of energy-saving and environmentally-friendly underground structures. They can be used as shallow geothermal energy harvesting systems for heat exchanges with the ground. Theoretical research and practical applications of energy shafts are still in the initial stages, and related tests are still relatively few. This study used the Shanghai Taihe energy shaft test section as the research background. The results of the thermal force response test of the energy shaft was numerically analyzed using the COMSOL software and compared with that of Beijing Qinghuayuan energy tunnel for applicability evaluation and analysis. The results show that the Shanghai strata energy shaft has a better heat transfer capacity than the Beijing strata energy tunnel owing to the different geological environments and is more economical. Simultaneously, the temperature stress generated in the heat transfer process of the Shanghai Strata energy shaft was smaller than that of the Beijing strata energy tunnel, which is safer. Therefore, underground energy structures can be widely applied to the Shanghai strata, which can significantly improve economic applicability while ensuring safety.