Using steel ball to encapsulate phase change material (PCM) and replace coarse aggregate in concrete can improve the energy density and heat transfer of the pile; thereby reduce the underground space required for heat exchange. In this study, cooling-heating circulating load was performed on the ordinary concrete energy pile and PCM energy pile placed in a model box containing unsaturated clay to study the thermal response of the piles and influence to the surrounding soil. The results show that the temperature influence range of phase change pile in soil is about 1.5 times of pile diameter in the cooling-heating exchange process, and the difference between the inlet and outlet of the PCM pile is larger than that of the ordinary concrete pile, indicating a large amount of heat transfer. The temperature difference of the PCM pile and the ordinary pile in the heating process is less than that in the cooling process, indicating that the heat transfer efficiency of the cooling mode is larger than that of the heating mode under the same circulating condition. The addition of PCM in the cooling process leads to the uneven distribution of temperature in the vertical direction and cross section of the pile. In addition, obvious consolidation and drainage was observed under the action of temperature cycle, resulting in irreversible settlement of unsaturated clay.