This paper investigates the frost heave and thaw settlement characteristics of the pipe–soil system during the freeze–thaw cycle, along with the underlying mechanisms. A numerical simulation platform for the complex pipe–soil system was developed using the heat conduction equation, moisture migration equation, and stress–strain equation, all of which account for the ice–water phase change process. The simulations were performed with the coefficient-type partial differential equation (PDE) module in COMSOL Multiphysics. By employing coupled thermal–hydraulic–mechanical (THM) simulation methods, the study analyzed the changes in volumetric water content, volumetric ice content, moisture migration patterns, and temperature field distribution of a water pipeline after three years of service under real engineering conditions in the cold region of northern Xinjiang, China. The study also examined the effects of parameters such as pipeline burial depth, specific heat capacity, thermal conductivity, permeability of saturated soil, and initial saturation on the displacement field. The results show that selecting soil layers with high specific heat capacity (e.g., 1.68 kJ/kg·°C) and materials with high thermal conductivity (e.g., 2.25 W/m·°C) can reduce surface frost heave displacement by up to 40.8% compared to low-conductivity conditions. The maximum freezing depth near the pipeline is limited to 0.87 m due to the thermal buffering effect of water flow. This research provides a scientific reference and theoretical foundation for the design of frost heave resistance in water pipelines in seasonally frozen regions.