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One-of-a-kind experimental and numerical investigation is provided in this paper about energy sheet pile walls: earth retaining structures that embed heat exchanger probes within piles for the exploitation of shallow geothermal energy. The study resorts to the results of full-scale in situ tests and coupled three-dimensional thermo-mechanical finite element analyses of an energy sheet pile wall constructed in an underground station. In this context, an investigation about the influence of thermal boundary and initial conditions on thermo-mechanical behaviour of the energy sheet pile wall is performed. The addressed thermal boundary conditions are associated with the thermal load imposed on the considered foundation by the field environment and the geothermal operation of some energy piles constituting the wall. The addressed thermal initial conditions are associated with the undisturbed ground temperature field of the considered site. Based on a comparison between the experimental and numerical results, and the development of numerical sensitivity analyses, criticalities associated with the analysis and modelling of the thermo-mechanical behaviour of energy sheet pile walls are denoted. The results highlight that: a marked non-uniformity of the temperature field can characterise real applications of energy sheet pile walls, representing a significant challenge to capture numerically at all spatial locations; a comparable influence denotes thermal loads that derive from the field environment and the geothermal operation of energy sheet pile walls, deserving attention when modelling the behaviour of such geostructures; and a critical role of the initial thermal conditions is connected to the satisfactory understanding and prediction of the thermo-mechanical behaviour of energy sheet pile walls, requiring careful consideration for analysis and design purposes.