This study presents the development and experimental evaluation of a novel cold-formed steel (CFS) shear wall system enhanced with a self-centering energy dissipation brace (SCEDB). The system integrates corrugated steel sheathing with a SCEDB to improve seismic performance while minimizing residual displacements. Experimental investigations included component-level tests on three SCEDB configurations with varying friction forces and preloads, followed by full-scale monotonic and cyclic tests on six wall specimens. These comprised two conventional walls and four SCEDB walls, utilizing two types of corrugated sheathing with rib heights of 5 mm (Q915) and 15 mm (V76). Results demonstrate that the SCEDB significantly improves the seismic performance of corrugated steel sheathed CFS walls. The optimal SCEDB configuration provided stable flag-shaped hysteresis, balancing self-centering and energy dissipation. Compared to unbraced walls, SCEDB walls exhibited increases in shear capacity up to 47% for Q915 walls and 27% for V76 walls, along with enhanced initial stiffness and cumulative energy dissipation. The brace also altered the failure mode from brittle stud buckling to a more ductile, sheathing-dominated pattern involving panel buckling and screw connection failures when boundary studs were strengthened into built-up sections. Crucially, the SCEDB system effectively reduced residual drifts by 40–52% for Q915 walls and 24–31% for V76 walls, demonstrating strong self-centering capability. The SCEDB-enhanced corrugated steel sheathed CFS shear wall system offers a viable solution for enhancing seismic performance and post-earthquake reparability, supporting its application in mid- to high-rise structures in seismic regions.