The high intensity of solar radiation and long sunshine time in the Turpan area lead to the necessity of sunshade construction. Sunshade components can effectively block direct solar radiation and the secondary heating of buildings. Through the analysis of the importance and sensitivity of sunshade components, it was found that the importance of sunshade components accounts for the largest proportion of multi-parameters, and the sensitivity of sunshade components accounts for about 60% of the total. At the same time, the change in sunshade length has an important influence on the proportion of air conditioning energy consumption and space comfort when the sunshade length reached the 0.6 m−0.8 m range. The energy consumption curve of air conditioning no longer decreased and tended to be horizontal, which showed that a sunshade could effectively reduce the energy consumption of air conditioning, while the PMV comfort curve gradually increased and tended to be horizontal, indicating that a sunshade could effectively improve indoor comfort; therefore, a sunshade could reduce direct solar radiation, reduce the energy consumption of air conditioning and improve indoor thermal comfort. In view of the extremely harsh climate characteristics of Turpan, although Turpan needs to carry out shading design, as a typical wind-sensitive component, the structural safety of the visor under the action of an extreme wind environment is the primary focus of designers. The design requires wind loads as control loads. Based on the ANSYS Workbench platform, this study used the fluid−structure coupling technology to calculate and solve for the wind load stress and strain of a horizontal sunshade and a vertical sunshade in a cantilevered external sunshade of different buildings orientations. In this study, by solving for the maximum principal stress and maximum principal elastic strain under 10 working conditions, the results showed that the maximum principal stress of the sun visor under all working conditions was 0.39 MPa, which is much smaller than the tensile strength of C25 concrete. The calculated maximum principal elastic strain of the sun visor was 0.12 × 10−4, which is much smaller than the maximum strain value of concrete. Therefore, the wind load under this research condition had no great influence on the structural safety of the concrete sunshade, which proves the structural feasibility of the building sunshade member in the Turpan area, and provides a reference for the future practical engineering of cantilever members in the Turpan area.