To study the lateral performance of a cold-formed steel–concrete insulation sandwich panel composite wall, two full-scale specimens with different arrangements were designed. The specimens underwent cyclic loading tests to examine the failure characteristics of the composite wall, and lateral performance aspects such as the experimental hysteresis curve, skeleton curve, and characteristic value of the whole loading process were acquired. The experimental results indicate that the failure of the composite wall system was primarily caused by the failure of the connection; the overall lateral performance of composite walls with one wall panel at the bottom and two wall panels at the top (W1) was superior to that of composite walls with two wall panels at the bottom and one wall panel at the top (W2). When loaded to an inter-story drift ratio of 1/300, the composite wall did not exhibit any significant damage. A finite element (FE) model was developed and validated by the experiments. Factors affecting the shear bearing capacity were analyzed based on the FE model, including the yield strength of diagonal braces, the thickness of the diagonal braces, the arrangement pattern of the wall panels, the dimensions of the wall panels, and the strength of the connection of the L-shaped connector and the flat connector. The FE results show that all these factors can influence the lateral performance of the composite wall.