As one of the main businesses in Jeju-do in South Korea, specialized local products are grown in greenhouses. For greenhouse farming, it is preferable to use geothermal heat pump systems for energy conservation because of the stable temperature of the ground. In the same manner, heat pumps using underground air is recommended for greenhouse farming since underground air can easily be obtained from porous volcanic rocks in Jeju-do. However, direct usage of the underground air is not feasible for planting in the greenhouse or livestock care because the underground air is relatively humid and its temperature is low. For the present study, the heating performance of an air-to-water heat pump which used underground air as a heat source for greenhouse farming during the winter was assessed through measurements. In addition, the economic impact of the air-to-water heat pump (AWHP) was compared with a conventional air heater. According to the results, an AWHP can save more than 70% of the total heating costs compared with a conventional air heater. In sum, the utilization of the air-to-water heat pump using underground air can have a positive impact on reducing energy consumption as well as provide direct economic benefits.