Four composite walls with double steel plates and filled concrete were tested under axial compressive loads, and the effects of the strength and distance-to-thickness ratio(the ratio of the distance between shear connectors to the steel plate thickness)of a steel plate on the local buckling position, critical loading, and failure modes were analyzed. Test results indicate that local buckling tends to occur in the middle between two vertical connectors and in the middle part of the area surrounded by four connectors. The limit value of the distance-to-thickness ratio that prevents local buckling failure from occurring before yielding failure decreases with the increase of the strength of steel. The distance-to-thickness ratio has a significant influence on the failure mode and critical load of local buckling. Based on the analysis of experiments, the formula for the limit value of the distance-to-thickness ratio that prevents local elastic buckling failure was derived. The applicability of the formula was verified by the existing experimental data and numerical analysis, and the formula was further modified.