Bringelly Shale, consisting of claystone and siltstone with occasional sandstone, is a major formation of Wianamatta group in the Sydney Basin. Due to the weak cementation and presence of swelling clay minerals, the design and construction of retaining wall structures in Bringelly Shale with swelling potential in Western Sydney present unique challenges that demand careful consideration. This paper presents a case study of an approximately 20 m-deep excavation into Bringelly Shale at the St Marys metro station site on the Sydney Metro—Western Sydney Airport, Station Boxes and Tunnelling project. The design approach to the retaining walls comprising of soldier piled wall and ground anchors is described in detail. An instrumentation and monitoring plan developed and implemented during the construction is presented and discussed. The performance of the retaining wall was monitored with inclinometers and optical survey prisms at each stage of excavation and support installation. The paper also includes a discussion on the retaining wall performance during the construction. The findings of this paper serve as a valuable resource for geotechnical engineers, designers and practitioners, who will be involved in future projects dealing with Bringelly Shale and its swelling potential.