Through an experimental investigation of the seismic performance of diagonally braced cold-formed thin-walled steel composite walls subjected to vertical loads, the mechanical properties, failure modes, and hysteresis properties of the walls were elucidated. In addition, the influence of a sheathing panel on the hysteresis performance, ductility, and energy dissipation of the composite walls was analyzed. The experimental results show that the shear bearing capacity of the single-sided oriented strand board (OSB) panel wall was increased by 38.79% compared with the non-panel wall under the same vertical load. The shear bearing capacity, ductility coefficient, μ, and energy dissipation factor, E, of the single-sided OSB panel composite wall with an axial compression ratio of 0.24 were increased by 7.5%, 4.5%, and 4.1%, respectively, compared to the wall with an axial compression ratio of 0.16; however, the yield displacement was reduced by 8.1%. The cold-formed thin-walled steel composite wall with diagonal bracing exhibited good seismic performance. After verifying the reliability of the finite element model, the influence of the axial compression ratio of the wall stud and the yield strength of the steel components on the mechanical performance of the wall was investigated through a variable parameter analysis. The results showed that with the increasing axial compression ratio, the shear bearing capacity of the wall was improved. In addition, reducing the yield strength of the steel components significantly reduced the shear capacity of the composite wall. Finally, according to the Technical Specification for Low-rise Cold-formed Thin-walled Steel Buildings (JGJ 227-2011) and AISI S400-15, the resistance partial coefficient of the wall was derived, which determines the design value for the shear bearing capacity under a horizontal earthquake.