Abstract: Current research on the overall shape coefficient of lattice tower and their internal exhaust chimney remains limited. Directly superimposing wind loads of the two main components without considering interference effects between structures fails to meet the requirements of refined design. Therefore, based on high-frequency force balance (HFFB) tests and aeroelastic model wind tunnel experiments, this study investigates the shape coefficient of the structure in the subcritical regime and its wind-induced vibration response under terrain A wind fields. The experimental results show that the shape coefficient of the lattice chimney is significantly influenced by wind direction angle, initially decreasing and then increasing as the wind direction angle grows, with its peak value occurring at 0°. In contrast, the code-specified shape coefficient reaches its maximum at 45°, leading to a misjudgment of the most unfavorable wind direction angle for mean wind load calculations and an overestimation of static wind load by 74.39%. Within wind direction angles of 0°–45°, the structure exhibits continuously increasing along-wind and across-wind buffeting responses under Class A wind fields as wind speed rises, with no significant vortex-induced vibration observed. The amplitude of the across-wind buffeting response is comparable to that of the along-wind response and should not be neglected. The along-wind wind-induced vibration coefficient varies convexly along the height and is less affected by wind direction angle, whereas the code-specified wind-induced vibration coefficient follows a concave curve, with a maximum deviation of 89.97%. The across-wind wind-induced vibration coefficient is more sensitive to wind direction angle, and the characteristic turbulence generated by the interaction between members of the lattice steel chimney has a more pronounced effect on the across-wind buffeting response than on the along-wind response.