The stress states and deformation laws of the compound wall system of subway stations are quite different from theoretical calculation results, and the distribution law of earth pressure on retaining structure and the internal force of the station structure are uncertain. In this study, expanded polystyrene (EPS) foam was used to replace waterproof layer, and model tests and numerical simulations were conducted to investigate the stress states and deformation laws of compound wall and composite wall systems. The horizontal earth pressure behind the diaphragm wall, the surrounding ground surface settlement, and the structural internal force were obtained. Research results show that the compound wall technique had good load reduction effect and could effectively improve the stress state of the main structure of the subway station. The load reduction effect of the compound wall technique increased with the increase in the thickness of the EPS board or the decrease in the elastic modulus of the EPS board. However, the bending moment of the diaphragm wall would increase with the increase in the load reduction effect of the subway station structure. Thus, the load reduction effect is not always available at a higher EPS board thickness or a lower elastic modulus, but reasonable load reduction parameters of EPS board are required. The compound wall technique could induce a larger surrounding ground surface settlement than the composite wall technique. The influence area of ground surface settlement was about 0.60H to 1.25H in this study (H is the depth of the foundation pit), and the difference of the settlement between the two techniques was about 12%.