An insulated sandwich concrete wall with embedded columns (ISCW-EC) is proposed by introducing horizontal reinforcements and cold formed steel embedded columns to the traditional insulated sandwich concrete wall. Axial compression load tests were performed on two full-scale specimens with different horizontal reinforcement spacings to investigate the failure mode of ISCW-EC. The failure patterns of both specimens are the same: splitting cracks present at the bottom of specimen and local buckling occurs at the bottom of the embedded column. The test results show that the specimen with smaller horizontal reinforcement spacing has smaller cracking load, lower secant stiffness, lower ductility and higher compression bearing capacity. Based on the test results, refined finite element models were established to perform a multi-parameter analysis in which the influences of horizontal reinforcement spacing, embedded column spacing, concrete strength and steel wire diameter are studied. The multi-parameter analysis results show that the increase of concrete strength and wire diameter improve the axial compression bearing capacity while the increase of the horizontal reinforcement spacing and embedded column spacing reduce it. Finally, the calculation formula of axial compression capacity of ISCW-EC is put forward based on both test and finite element analysis results.