Concrete hollow blocks have the advantages of simplified construction, reduced construction time, and better thermal performance, and can thereby achieve energy conservation in building engineering and significantly improved thermal and mechanical performance. A new tenon composite block is presented to achieve better self-thermal insulation and mechanical performance by integrating thermal materials into blocks. The tenon composite block application requires satisfying mechanical and seismic performance. Therefore, to prove the mechanical and seismic performance of the tenon composite block, a low cyclic loading test was performed on two self-thermal insulation wall specimens: the tenon composite block and the “Martha” block (used as the comparison specimen). The crack distributions, failure modes, force–displacement data expressed using hysteresis and skeleton curves, mechanical parameters of strengths, displacements, ductility coefficients, stiffness degradations, and equivalent viscous damping coefficients of the two specimens were analyzed in the low cyclic loading test. By analyzing the specimen crack distributions and failure modes, the tenon composite block was proven capable of effectively connecting the heat insulation and loading bearing parts. The differences in the force–displacement data and the mechanical parameters between the tenon composite block and “Martha” block specimens, such as the higher strength and stiffness of the tenon composite block specimen and similar ductility performance with the widely applied “Martha” specimen, were mainly caused by the size differences between the tenon composite block and “Martha” specimens. Finally, suggestions for tenon composite block applications are proposed to overcome the limitations of the tenon composite block’s ability to consume seismic energy.