Over the past 20 years, as the depth and diameter of shaft lines increased in China, the cracking and water leakage of the inner walls of frozen shafts have become increasingly severe, resulting in significant safety threats and economic losses. Understanding the stress variation patterns of cast-in-place inner walls under the combined effects of temperature and constraint during construction is a prerequisite for evaluating the crack resistance performance of inner walls and preventing water leakage in frozen shafts. The temperature stress testing machine is an important instrument for studying the early-age crack resistance performance of concrete materials under the combined effects of temperature and constraint. However, existing testing machines have shortcomings in terms of applicable specimen cross-sectional shapes, temperature control methods for concrete structures, and axial loading capacity. In this paper, a novel temperature stress testing machine suitable for the inner wall structure shape, capable of simulating the hydration heat of the inner walls, was developed. Then, a reduced-scale model of the inner wall according to similarity criteria was manufactured indoors. Finally, preliminary investigations of the temperature, strain, and stress variations of the inner wall under 100% end constraint conditions were conducted by simulating the actual hydration heating and cooling process of the inner walls. Results show that the hydration heating and cooling process of the inner wall can be accurately simulated. After approximately 69 h of concrete casting, the accumulated relative displacement and strain of the end-constrained inner wall model were −244.2 mm and 187.8 με, respectively. The end constraint force of the model increased to a maximum value of 1.7 MPa and then rapidly unloaded, causing the model concrete to crack in tension. The temperature stress testing method presented in this paper provides a reference for scientifically formulating technical approaches to prevent cracking in cast-in-place concrete inner walls.