Energy piles are a relatively new technology that have dual function as heat transferring and load bearing. Due to the influence of temperature cycles, additional thermal stress and relative displacement of the pile will be generated; this is different from the load transferring mechanism of the conventional pile. In order to study the thermodynamic characteristics of the energy pipe pile under dual working conditions and temperature cycles, field tests were carried out on the PHC (prestressed high-strength concrete) energy pipe pile without constraining on the top of the piles. Displacement gauges were arranged on the top of the pile, and concrete strain gauges (temperature, strain) were embedded in the pile. The variation laws of temperature, thermal strain, thermal stress, side friction resistance, and displacement of the pile top during the temperature cycling were analyzed. The test results show that the heat exchange system reached a stable state after being heated for 5 days in summer. The average temperature of the pile increased by 15.17 °C, to 34.68 °C; it was low at both ends and high in the middle part. After 5 days in the winter environment, the average temperature of the pile decreased by 10.09 °C, to 9.54 °C, which was high at both ends and low in the middle. The thermal stress was generated inside the pile, and the maximum compressive stress was 3.446 MPa and the maximum tensile stress was 2.69 MPa. The neutral point of the side friction resistance appeared 8 m below the pile top, about 2/3 of the pile length. The maximum negative side friction resistance under the summer condition was 42.06 KPa, the maximum positive side friction resistance under the winter condition was 29.93 KPa, and the lateral resistance of the pile degraded in winter. Under the influence of thermal load, the final pile top displacements in the summer and winter were −0.7 mm (0.175%D) and 0.77 mm (0.193%D), respectively.