Understanding the thermal performance of windows with shading devices is important for energy saving. Using a full-scale experimental building, the thermal insulation performance (U-value) and the solar heat gain performance of windows with shading devices was measured, and the validity of the measurement method was confirmed. In addition, the indoor thermal environment and the comfort with and without shading devices were measured, and it was confirmed that the shading devices contributed to the improvement of comfort especially by realizing a uniform radiation environment.