As a pilot research for an aimed beam-column joint of steel prefabricated prefinished volumetric construction (PPVC) buildings, this study investigates the axial static bearing capacity of grouted square hollow section (SHS) sleeve connections via carrying out experimental tests. Ten specimens with different dimensions were tested to failure under monotonic axial compressive loading and their loading-displacement curves were measured and recorded. The effect of the grouted length, the shear-key spacing, and the grout strength to the bearing capacity of the grouted SHS sleeve connections are investigated in this study. It is found that the axial static bearing capacity of the specimens tested increases approximately in a linear manner with the grouted length increases and can reach the bearing capacity of the outer tube’s cross-section when the grouted length is sufficient. Besides, the benefits brought by the increment of the grout strength to the axial bearing capacity of the grouted SHS sleeve connection may depend on other parameters such as the shear-key size and spacing, the gap between two tubes, and the thickness of the outer tube. Therefore, more experimental tests are required to understand the effect of the grout strength comprehensively.