In the low-cycle reciprocating loading test of cold-formed thin-walled steel composite wall connected with rivet locking or self-tapping screw, the phenomenon of “pinching” of hysteresis curve is serious and the energy dissipation capacity is poor. To reduce the damage of cold-formed thin-wall steel composite wall under earthquake and improve the energy dissipation capacity of the structure, a cold-formed thin-wall steel composite wall structure system with lead damper was proposed, and seismic performance experimental study was conducted based on three variables, i.e., cold-formed thin-walled steel composite wall corner connection mode, panel rivet spacing, and type. Results show that with the addition of the lead damper, the deformation capacity and energy dissipation capacity of the cold-formed thin-walled steel composite wall structure system based on rivet locking or self-tapping screw connection were significantly improved under the low-cycle reciprocating loading. The stiffness degradation tended to be gentle, the injury index was significantly decreased, and the failure pattern was optimized, while the yield load and peak load were slightly reduced. Then, with the rivet spacing reduced, the yield load, peak load, peak displacement, and shear strength of the composite wall were improved to some extent, but the energy dissipation coefficient had little difference. Meanwhile, the yield displacement, yield load, peak displacement, and peak load of the cold-formed thin-walled steel composite wall based on rivet connection were significantly higher than those of the cold-formed thin-walled steel composite wall based on self-tapping screw connection, but the ductility and energy dissipation coefficient of the walls were similar.