Load-bearing cold-formed steel (CFS) walls sheathed with double layers of gypsum plasterboard on both sides have demonstrated good fire resistance and attracted increasing interest for use in mid-rise CFS structures. As the main connection method, screw connections between CFS and gypsum sheathing play an important role in both the structural design and fire resistance of this wall system. However, studies on the mechanical behavior of screw connections with double-layer gypsum sheathing are still limited. In this study, 200 monotonic tests of screw connections with single- or double-layer gypsum sheathing at both ambient and elevated temperatures were conducted. The failure of screw connections with double-layer gypsum sheathing in shear was different from that of single-layer gypsum sheathing connections at ambient temperature, and it could be described as the breaking of the loaded sheathing edge combined with significant screw tilting and the loaded sheathing edge flexing fracture. However, the screw tilting and flexing fracture of the loaded sheathing edge gradually disappear at elevated temperatures. In addition, the influence of the loaded edge distance, double-layer sheathing and elevated temperatures is discussed in detail with clear conclusions. A unified design formula for the shear strength of screw connections with gypsum sheathing is proposed for ambient and elevated temperatures with adequate accuracy. A simplified load-displacement model with the post-peak branch is developed to evaluate the load-displacement response of screw connections with gypsum sheathing at ambient and elevated temperatures.