Based on the layer heat transfer theory, this paper tested the water temperature of the underground heat exchanger at different depth on the basis of the ground-coupled source heat pump system of a Demonstrative Building in Chongqing. After the date processing through two aspects, i.e., the daily temperature of different time and temperature difference between inlet pipes and outlet pipes, this paper compared thermal performance between the vertical double U-shape underground heat exchangers with outlet pipe insulated or not. The comparison demonstrated that: in winter, the rate of improvement in average heat transfer energy efficiency of the heat exchangers with insulated outlet tube is 14.09% in typical winter day, 23.08% in the coldest month and 40.54% in the whole cooling season compared with the heat exchangers without insulation. Meanwhile, the rate of improvement is 10.76% in typical summer day, 28.57% in the hottest month and 41.48% in the whole cooling season in summer. The insulated outlet pipe is helpful to increase heat transfer capacity of underground heat exchanger.