This paper studied the annual thermal performance of a photovoltaic wall (PV wall) mounted on a multi-layer façade. Based on some developed unsteady-state heat transfer models for a PV wall and a normal wall, the annual thermal performance of two types of walls was simulated. Compared with a normal wall, the south-facing PV wall could reduce heat gain through the envelope by 51% in summer under Hong Kong weather conditions. The impact of the PV wall on the envelope’s heat gain and heat loss in winter was investigated for the first time, and the results indicated that the PV wall could not only significantly reduce the heat gain through the envelope in daytime, but also reduce the heat loss at nighttime. The heat gain and heat loss through the PV wall in winter were reduced by 69% and 32% respectively compared with a normal wall. Totally, an annual thermal energy consumption reduction of 52.1 kW h was achieved by replacing each square meter of a south-facing normal wall by a PV wall, which is equivalent to a saving of 18.6 kW h of electric energy for the air conditioning system in a building. The impact of the thickness of an air duct on the thermal performance of the PV wall was also discussed.