To investigate the axial compression behavior of composite columns with high-strength concrete-filled steel tube flanges and honeycombed steel web (STHHC) under load during freeze–thaw cycles, 48 full-scale composite column specimens were designed with different parameters: the restraint effect coefficient (ξ), concrete strength (f_cu), number of freeze–thaw cycles (n_d), slenderness ratio (λ), space–height ratio (s/h_w), and hole–height ratio (d/h_w). The finite element models of STHHC composite columns were simulated using ABAQUS finite element software (Version: 2021). The modeling method’s rationality was verified by comparing simulation results with experimental outcomes. Based on the finite element model, a parametric analysis of the composite columns under freeze–thaw cycles was conducted, analyzing their failure modes and load-bearing processes. The results indicate that the bearing capacity of the STHHC increased with increases in ξ and f_cu, and decreased with a rise in λ. In contrast, the influence of s/h_w and d/h_w on the ultimate bearing capacity of the composite columns was relatively minor. An equation for calculating the axial bearing capacity of the STHHC composite columns under freeze–thaw cycles was derived using statistical regression methods and considering the impact of different parameters on the axial compressive performance of the composite columns, laying the foundation for the promotion and application of this type of composite column in practical engineering projects.