As one of the commonly used power sources for electric vehicles, cell phones, and laptops, lithium-ion batteries (LIBs) have aroused more and more attention. Lithium-ion batteries will inevitably suffer from external abuse loading, triggering thermal runaway. Nail penetration is one of the most dangerous external loading methods, so it is meaningful to study the failure behaviors under this loading condition. In this article, the experimental study of 18650 cylindrical lithium-ion batteries (with nickel cobalt aluminum oxide cathode) under axial nail penetration is carried out. Force, temperature, and voltage data are recorded synchronously to learn its mechanical, thermal, and electrochemical behaviors, respectively. Then, the loading velocity effect is discussed, and the results show that the loading velocity has no obvious effect on failure properties of lithium-ion battery. Besides, deformation and failure properties of lithium-ion battery are discussed in detail. A simple homogenous computational model is established to predict the mechanical responses of the battery. The partially detailed model is also established to explore the failure mechanism. The batteries are disassembled after loading to better understand the failure morphologies. Two failure modes are discovered through experiments and computational model. The findings can contribute to a better understanding of the failure mechanism of lithium-ion battery under axial nail penetration, providing reference for battery safe design.