Fibre reinforced polymer (FRP) materials are light in weight and durable in harsh environments. Self-drilling screw fasteners are convenient for assembling secondary load-carrying members in building structures, as has been demonstrated in thin-walled steel and timber structures. The use of self-drilling screws with pultruded FRP members could provide an efficient and cost-effective solution for the construction of secondary structures. Considering the application in roof structures, this research investigates the mechanical performance of self-drilling screw connections for pultruded FRP members. The design parameters of the connections include gauge size and thread coarseness of the screw, number of screws, and the use of adhesive bonding. Both monotonic and multi-level amplitude cyclic loadings are considered in experimental testing. Analytical and finite element modelling is conducted to characterize the stiffness, strength, and critical stress distribution of the connections.