In this paper, a novel precast concrete composite wall connected by tooth groove and grouted sleeve was introduced, which is produced in factories by means of structure-insulation integrated prefabrication, and the prefabrication and assembly process were presented minutely. To verify the feasibility and reliability of this novel tooth groove and grouted sleeve connection method and explore the joint connection performance and the seismic performance of the precast concrete composite wall connected by tooth groove and grouted sleeve, low-cyclic reversed loading tests with an axial compressive ratio of 0.1 were performed on two full-scale precast concrete composite walls. Moreover, the failure mode, hysteretic curve, skeleton curve, stiffness degradation, displacement ductility, energy dissipation capacity, and reinforcement strain were comprehensively discussed. The research results showed that under the vertical axial load and low-cyclic reversed load, the distributed reinforcements in the wall panel only played a structural role, while the connecting reinforcements at horizontal joints can always effectively transfer stress without bond failure, and the tooth groove and grouted sleeve connection performance was reliable. In addition, the hysteretic curves of the precast concrete composite wall connected by tooth groove and grouted sleeve were full, showing good ductile deformation capacity and energy dissipation capacity. In general, the precast concrete composite wall connected by tooth groove and grouted sleeve not only possessed favorable seismic performance but also showed obvious advantages such as green energy saving, high assembly rate, and less on-site wet operation, which can be applied to practical engineering under reasonable design.