Drop hammer impact test and numerical simulation were conducted on eight double-skin steel-concrete composite wall specimens to investigate the influence of the impact energy and axial compression. During the test, the time histories of the impact force, axial force, displacements, and strains were recorded to analyze the dynamic response of the specimens. A finite element model was established using ANSYS/LS-DYNA to simulate the response of the specimens subjected to impact loading and axial preload. By comparing the experimental results and the calculated results, the accuracy of the numerical model was validated. A parametric study was carried out to further discuss the effect of the axial preload and impact energy. Results show that the response of the double-skin steel-concrete composite wall experiences five stages; the numerical model proposed in this paper can perfectly simulate the performance of the wall specimens. The impact resistance will significantly reduce when the ratio of axial compression exceeds a critical value.