Self-drilling screw is an efficient and cost-effective connection method for lightweight structural members. In this study, the performance of self-drilling screw connections for fibre reinforced polymer (FRP) structural members was investigated by a series of pull-out tests on connection specimens consisting of FRP plates joined to FRP square hollow sections (SHS) at a right angle. The varied parameters included the pultrusion direction of the FRP plate, screw gauge size, and coarseness of screw threads. The results indicated that the increase in screw gauge size and thread coarseness may improve the ultimate connection strength. A simplified equation was further presented to estimate the pull-out connection strength.