Deep borehole heat exchangers (DBHEs) have been widely used for extracting geothermal energy in China. However, the application of this technology in an open well with high temperature remains unknown. In this paper, the thermal performance of a DBHE installed in a groundwater-filled hot dry rock (HDR) well in the Gonghe Basin of Qinghai Province in China was investigated. A U-shaped pipe subjected to a hydraulic pressure of 30 MPa and a temperature of 180 °C was tested successfully. Severe heat loss was detected during the test, which might have been due to the pipe not being well-insulated. To better understand the performance of DBHEs, a numerical model was developed. The results indicate that the pipe’s thermal performance increased by 247% using insulation with a 15 mm layer thickness and a thermal conductivity of 0.042 W/m·K. Thermal performance was significantly improved by increasing the fluid flow rate and pipe diameter. Among the different pipe configurations, double U-shaped buried pipes can achieve the highest performance. The heat-specific rate can reach up to 341.33 W/m with a double U-shaped pipe with a diameter of 63 mm. The second highest rate can be achieved with a coaxial pipe, while single U-shaped pipes have the lowest one.