Numerous experimental studies had shown that the failure of screws were the primary cause of damage in cold-formed steel (CFS) members, and the strength and assembly efficiency of CFS members were largely dependent on the performance of fasteners. Therefore, this paper presented a comparative investigation on mechanical properties of self-piercing rivet (SPR), self-drilling screw (SDS), blind rivet and clinching in CFS structures. The failure modes and mechanical behavior of the four types of connections were investigated. The feasibility of each connection in CFS structure was comprehensively evaluated based on the test results. Moreover, the feasibility of SPR in CFS structures was validated through the tests which were conducted on CFS floor truss and CFS shear wall with SPR. The results indicated that self-piercing rivet was more suitable for fabricated CFS structures due to its superior mechanical properties and well-formed quality compared to the other three connections. The flexural stiffness and ductility of floor truss with SPR were significantly better than that with SDS specimen. Additionally, the shear strength and stiffness of CFS shear wall with SPR specimen were markedly improved than those with SDS specimen. It was highly feasible to use the SPR connection instead of the SDS connection for CFS structures with high stiffness and automation requirements.