Water flow window is an advanced energy-saving building façade, and the design of the heat exchanger affects the thermal performance directly. A novel finned tube water flow window (FTWFW) applying a finned tube heat exchanger is proposed. Its thermal performance, with regard to energy savings and the thermal environment created under various operating conditions, is studied experimentally. The reduction in indoor heat gain reached 88.1% compared with insulated glazing unit, and the average daily water heat gain efficiency was 65.2% during the summer testing. The inner glazing surface temperature of FTWFW was more stable and closer to the comfort room temperature, especially under non-air-conditioning condition in winter, resulting in enhanced thermal comfort. Moreover, increasing the flow rate or decreasing the temperature of feed water can improve the thermal performance of FTWFW in summer. In winter, compared to increasing the feed water flow rate, raising the feed water temperature was more effective in increasing the room temperature. The advantages of FTWFW in cooling/heating energy saving, thermal collection, and thermal comfort enhancement were well demonstrated. Its large-scale application is expected to make contributions in green and low-carbon building development. The findings of this study can helpful in decision making of real projects.