Shenzhen Superconducting Soft X-ray Free Electron Laser (S³FEL) will be the only high refrequency free electron laser in soft X-ray band in the world. Dump, playing an important role in system beam tuning, is an important equipment of S³FEL device. As an important component of dump, dump beam window is used to isolate and protect the ultra-high vacuum environment of the accelerator. In this paper, several commonly used materials for dump beam window are compared and analyzed, beryllium is finally chosen as the material. A dump beam window with water-cooled structure is designed using to beryllium. The deposition power of beam window with different thickness is calculated by Monte Carlo method. The thermal-mechanical simulations based on the finite element analysis method show that the water-cooled beryllium window with a thickness of 1.6 mm is the best and meet the application requirements. Its maximum temperature is 121.6 ℃. The maximum stress and central deformation at low vacuum of 1 Pa are 198.7 MPa and 0.000 82 mm respectively. The maximum stress and central deformation at low vacuum of 101 325 Pa are 204.2 MPa and 0.097 mm respectively. The present study provides a critical theoretical basis for the design of dump beam window in S³FEL.