This study presents an innovative design for a cold-formed steel polyurethane (CFS-PU) composite wall panel, combining a cold-formed steel frame, a polyurethane foam infill, and a gypsum fibreboard sheathing. The foam filling process, in which the foam is injected under pressure, ensures uniform distribution, bonding, and interaction of all panel components. The aim of the study is to evaluate the behaviour of the CFS-PU composite panels and the influence of the PU foam and sheathing on the performance of the CFS frame structure. For this purpose, a comprehensive test programme was conducted with nine full-scale specimens, including four CFS-F specimens without infill and sheathing and five CFS-PU specimens with infill and sheathing on both sides. The study examined various aspects of the specimens, including failure modes, stability, stiffness, load-bearing capacity, and ductility index. By analysing these parameters, valuable insights were gained into the performance characteristics of the composite wall panels. The load-bearing capacity of the CFS-PU test specimens was improved by 2.34 times and the stiffness by 1.47 times compared to the CFS-F test specimens. The positive results highlight the potential of foam and sheathing in improving the axial compression performance of CFS walls.