Energy piles may be utilized for retaining structures, embankment reinforcements, and building foundations on a slope. In this study, a field test of a retaining energy pile subjected to horizontal loads has been carried out. The pile was subjected to thermal and thermo-mechanical loads before and after a pit excavation of 6 m deep, respectively. The non-uniform thermal and mechanical response at the cross-section due to heating and horizontal-load-induced bending has been recorded. A simplified mechanism of the normal strain and stress at the pile cross-section was introduced to infer the thermo-mechanical behavior of the energy pile. The results show that the restraint of the retaining pile markedly decreased at the depth of 1.5 and 4.0 m under the thermo-mechanical loads, compared to the case subjected to thermal load only. The bending behaviors (bending moment and horizontal displacement) indicate that there is a 10%–15% increase in bending moment when the energy pile was heated after the pit excavation. This effect needs to be considered at the most unfavorable section position. A possible positive effect is that heating up is beneficial for reducing the risk of tensile crack at the pile section due to the thermal compressive stress.