In this paper, an experimental investigation of the performance improvement of a heat pump equipped with a two-phase ejector, called an “ejector–expansion heat pump (EEHP)”, is proposed. The system performance of the EEHP is compared with that of a vapor-compression heat pump (VCHP). The improvement potential is determined and discussed. The heat pump test system based on a water-to-water heat pump that can experiment with both the EEHP and the VCHP is constructed. A two-phase ejector with a cooling load of up to 2500 W is installed for the experiment. The results show that the EEHP always produces a higher heating rate and COPHP than the VCHP under the specified working conditions. The heating COPHP is increased by 5.7–11.6% depending on the working conditions. It is also found that, under the same heat sink and heat source temperature, the EEHP can produce a lower compressor discharge temperature and a lower compressor pressure ratio than the VCHP. This is evidence that the two-phase ejector can provide the compressor with better working characteristics, which yields a longer compressor lifetime. It is demonstrated that the expansion pressure ratio is key to the performance of the EEHP. A larger expansion pressure ratio yields greater improvement potential when compared with the VCHP.