Geotechnical structures embedded in the ground and equipped with heat exchangers permit to exploit the ground thermal energy. Their design should combine the prior structural function with the energetic function, and their response, under both thermal and mechanical loads, is still being investigated. Considering an energy diaphragm wall, the aim is to investigate, by sequentially coupled thermo-mechanical analyses, the heat transfer effects on the soil temperatures, the wall internal actions and the soil-structure interaction. The results show that the additional thermal loads are admissible, in terms of global stability and structural safety, though generally not negligible, since unusual internal actions, such as tensile axial stresses, may develop that should be taken into account in the design.