In this research, a protective concrete-filled steel plate composite wall (PSC) is developed, consisting of a core concrete-filled bilateral steel plate composite shear wall and two lateral replaceable surface steel plates with energy-absorbing layers. The PSC wall is characterised by high in-plane seismic performance as well as out-of-plane impact performance. Therefore, it could be employed primarily in high-rise constructions, civil defence initiatives, and buildings with stringent structural safety criteria. To investigate the out-of-plane low-velocity impact behaviour of the PSC wall, fine finite element models are validated and developed. Then, the influence of geometrical and dynamic loading parameters on its impact behaviour is investigated. The results show that the replaceable energy-absorbing layer could significantly decrease the out-of-plane displacement and plastic displacement of the PSC wall due to its large plastic deformation, which could absorb a significantly large amount of impact energy. Meanwhile, the PSC wall could maintain high in-plane seismic performance when subjected to impact load. The plastic yield-line theoretical model is proposed and utilised to predict the out-of-plane displacement of the PSC wall, and the calculated results agree very well with the simulated results.