To study the shear performance of the new connector used in the CFS frame shear wall with steel sheathing and gypsum board, an experiment subject to monotonic loading and a finite element simulation of screw connectors were carried out. The following results were obtained. (a) The failure modes of the screw connectors underwent ductile failure caused by pressure deformation and tearing failure of the sheathing panels, and a few specimens experienced brittle failure caused by shearing-off of self-drilling screws. (b) The increase in the end distance or edge distance has less influence on the shear resistance of the screw connectors if either of them exceeds 15 mm. Besides, the increase in spacing of screws has less effect on the shear resistance of the screw connectors if the spacing of screws exceeds 100 mm. The thickness of the gypsum board did not have a distinct effect on the shear resistance of screw connectors. The diameter of the screws, thickness of the steel sheets and thickness of the studs had a significant effect on the shear resistance of screw connectors. (c) Two kinds of failure modes existed for the screw connectors obtained by the finite element simulation, namely, the shearing failure and the combination failure of bearing and tilting. The simulated failure modes were consistent with the experimental results, and the simulated load-displacement curves were close to the experimental results, which indicated the effectiveness of the finite element simulation method.