The composite wall with lightweight steel die net and modified expanded polystyrene granule concrete is a novel structure system. In order to understand its mechanical properties, the numerical model of the composite wall is established by the finite element software ABAQUS. The stress state and failure mode of composite wall under axial compression load are analyzed, and the influence of light steels with different opening ratios on the mechanical performances of composite wall is explored. The results show that the composite wall is a novel structural member with good mechanical performance, in which the lightweight steel, the die net and the modified expanded polystyrene granule concrete can work cooperatively. The failure pattern of the composite wall is similar to that of frame infilled wall. The die net increases the ultimate bearing capacity of the composite wall by 6%. It is suggested that the lightweight steel with the 30% open ratio should be selected as the vertical load-bearing component in the composite wall.