Based on the project of National Highway No. 310 located in Sanmenxia City, China, field tests on the thermal responses of the pile groups under embankment load in winter condition are carried out. The temperatures and stresses of piles along pile depth under the combined action of embankment load and temperature are measured. The thermal characteristics of the pile body, such as thermal-induced stress, cumulative deformation of the pile top, and heat exchange efficiency per unit area, are analyzed. The feasibility of a new piping method compatible with the segmented reinforcement cage is discussed. A calculation method for heat exchange in a large-diameter energy pile is proposed. The layout of the heat exchange pipe used in this study is feasible, and there is no large stress mutation in the dense and nondense areas. The maximum tensile stress in the middle of the pile body is about 0.4 MPa, which is nearly 22% of the concrete tensile strength value. The settlement of the pile top is about 0.33 mm after seven days of cooling condition, which is about 0.27‰ of the pile diameter.