This study aims to investigate the feasibility of using steel slag aggregate in concrete‐filled steel tubes by conducting axial compression tests on five groups of 10 circular steel slag concrete‐filled steel tube (SSCFST) slender columns. The failure mode, load–deformation curve, load–strain curve, axial bearing capacity, initial axial stiffness and ductility of the columns are analyzed. The effects of the steel slag replacement ratio and slenderness ratio on the axial compressive behaviors of the specimens are also quantified. These test results are employed to verify the reliability of a finite element model of the circular SSCFST slender columns established using Abaqus software. Then, a parametric analysis is conducted to explore the factors affecting the axial compressive behaviors of circular SSCFST slender columns. Moreover, the prediction accuracy of the existing design methods for the axial bearing capacity of circular SSCFST slender columns is evaluated. The results demonstrate that the ultimate bearing capacity of the specimens decreases by 2.3% and 3.1% on average, the initial stiffness decreases by 2.8% and 3.5%, and the ductility index decreases by 1.2% and increases by 1.6%, respectively, when the steel slag replacement ratio increases from 0 to 50% and 100%. The ultimate bearing capacity of the specimens decreases by 11.1% and 37.1% on average, the initial stiffness decreases by 6.3% and 28.8%, and the ductility index decreases by 5.1% and 12.2%, respectively, when the specimen slenderness ratio increases from 40 to 60 and 80. The confinement factor and slenderness ratio play a significant role in determining the axial compressive behaviors of SSCFST slender columns. The accuracy of the formulas provided in TCECS 625‐2019 and by Han is demonstrated in predicting the axial bearing capacity of circular SSCFST slender columns.