In this paper, H-shaped steel is embedded in simple concrete-filled steel tubular composite columns to form a new type of composite structural columns. In order to study the mechanical behavior of the new composite structure columns, the experimental studies are carried out under four working conditions: pure bending, compression-bending, torsion-bending and compression-bending-torsion. In order to meet the loading needs during the test, a set of loading devices suitable for multi-working condition simulation is designed and made. In the loading of complex load, the axial compression ratio is 0.24 for the condition with axial compression, and the torsion-bending ratio is 0.34 for the condition with torsion. Through the loading tests of four specimens, the indexes such as torque-torsion angle hysteresis curve, moment-displacement hysteresis curve, torque-torsion angle skeleton, moment-displacement skeleton, mechanical characteristics and stiffness degradation are analyzed. The results and mechanism are analyzed in depth, and the results show that the mechanical performance is good under complex loads, and the basic suggestions for using this new structure in engineering practice are put forward.