To reduce the thermal response and improve the heat storage capacity of energy piles, a phase change (PC) energy pile was proposed. This innovative PC pile is made of concrete containing macro-encapsulated PCM hollow steel balls (HSB) as coarse aggregates. A numerical model was developed to simulate the thermo-mechanical behaviors of the PC pile under thermal cycles and sustained loading. The computational model is a three-dimensional model that is symmetrical for the two horizontal directions in geometry. Heat transfer process follows conservation laws of energy. The numerical model was validated by the experiments conducted on the PC pile and the results show that the model can reproduce the major thermo-mechanical effects. Then, the model was used to compare the performance between the ordinary concrete pile and the PC pile in saturated sand under the same experimental conditions, where the piles were considered to be thermo-elastic in nature and the sand was considered as a Mohr–Coulomb elastic-plastic material. The thermo-mechanical response of the PC pile under different thermal loads was analyzed. The results show that at the end of heating, the temperature, strain, and displacement of the PC pile were lower than those of the ordinary pile. As the thermal loading increased, the range of temperature change in the soil around the PC pile increased, as well as the strain and displacement of the pile. The residual strain and plastic displacement after the temperature cycles also increased with the increase of thermal loading. Therefore, when designing phase change energy piles, full consideration should be given to the matching of thermal loads and PC temperature, so as to balance the heat transfer rate of the pile and the thermal response.