There are two major challenges faced by modern society: energy security, and lowering carbon dioxide gas emissions. Thermo-active diaphragm walls have a large potential to remedy one of these problems, since they are a renewable energy technology that uses underground infrastructure as a heat exchange medium. However, extensive research is required to determine the effects of cyclic heating and cooling on their geotechnical and structural performance. In this paper, a series of detailed finite element analyses are carried out to capture the fully coupled thermo-hydro-mechanical response of the ground and diaphragm wall. It is demonstrated that the thermal operation of the diaphragm wall causes changes in soil temperature, thermal expansion/shrinkage of pore water, and total stress applied on the diaphragm wall. These, in turn, cause displacements of the diaphragm wall and variations of the bending moments. However, these effects on the performance of diaphragm wall are not significant. The thermally induced bending strain is mainly governed by the temperature differential and uneven thermal expansion/shrinkage across the wall.