Hydration heat of early-age sidewalls can cause cracks owing to thermal stress, reducing the durability of underground space structures. The heat can be removed by the flowing water in the cooling pipe system. However, the cooling pipe may cause thermal stress due to the temperature gradient in the region adjacent to the cooling pipe, resulting in concrete cracking. To minimize the temperature peak of sidewalls and cracking risks in the region adjacent to the cooling pipe, the crack-distribution characteristics, temperature, and strain evolution of an early-age sidewall with a cooling pipe system are analyzed by concrete temperature and strain tests. Furthermore, a model that accounts for the early-age behavior of concrete and cooling-pipe effects is developed and solved. Finally, the effects of cooling-pipe parameters and ambient temperature on the sidewall’s temperature field and cracking risk are analyzed. The results indicate that the cracks emerge in the first two weeks after concrete pouring; most are vertical, and a few oblique cracks emerge in the wall corner. The tensile stress in the region adjacent to the cooling pipe gradually decreases along the flow direction. Reducing the water temperature and increasing the flow rate reduces the sidewall’s temperature peak and cooling rate. However, they increase the cracking risk in the region adjacent to the cooling pipe. When the flow rate exceeds 0.6 m3/h, further increasing the flow rate does not significantly affect the temperature field. Reducing the distance between cooling pipes reduces the temperature peak, cooling rate, and cracking risk in the region adjacent to the cooling pipe. In high-temperature environments, the cracking risk in the region adjacent to the cooling pipe increases significantly.