To address the engineering challenges associated with trapped water formation during suction penetration in clay and its impact on bearing capacity, this study developed a novel "Suction Caisson Installation-Loading" integrated testing system. This system enables self-weight penetration, suction penetration, monotonic loading, and cyclic loading. The effects of penetration rate, aspect ratio, local seabed slope, and soil strength on trapped water formation were systematically investigated in this research. Subsequent experiments evaluated the influence of varying trapped water thicknesses on the static and cyclic vertical bearing capacities. Key findings include: (1) No trapped water formed during suction penetration in flat clay, but soil plugging occurred. (2) Soil plug heave increased with higher penetration rates, larger caisson aspect ratios, steeper soil slopes, and greater seabed soil strength. (3) While trapped water exerted negligible effects on monotonic vertical bearing capacity, cyclic loading induced localized seepage at the soil-structure-water interface, triggering progressive failure and significant bearing capacity degradation. (4) Bidirectional cyclic loading caused more pronounced reductions in vertical bearing capacity compared to unidirectional loading under identical amplitude conditions.