Reinforcement learning (RL) is being gradually applied in the control of heating, ventilation and air-conditioning (HVAC) systems to learn the optimal control sequences for energy savings. However, due to the “trial and error” issue, the output sequences of RL may cause potential operational safety issues when RL is applied in real systems. To solve those problems, an RL algorithm with dual safety policies for energy savings in HVAC systems is proposed. In the proposed dual safety policies, the implicit safety policy is a part of the RL model, which integrates safety into the optimization target of RL, by adding penalties in reward for actions that exceed the safety constraints. In explicit safety policy, an online safety classifier is built to filter the actions outputted by RL; thus, only those actions that are classified as safe and have the highest benefits will be finally selected. In this way, the safety of controlled HVAC systems running with proposed RL algorithms can be effectively satisfied while reducing the energy consumptions. To verify the proposed algorithm, we implemented the control algorithm in a real existing commercial building. After a certain period of self-studying, the energy consumption of HVAC had been reduced by more than 15.02% compared to the proportional–integral–derivative (PID) control. Meanwhile, compared to the independent application of the RL algorithm without safety policy, the proportion of indoor temperature not meeting the demand is reduced by 25.06%.