The stimulation of thermal reservoirs in sandstone and its long-term stability evaluation are of great significance to the development of geothermal energy. In this paper, the mechanical properties of fractured sandstone under 0–8 cycles of thermal shocks are studied. The experimental results show that the P-wave velocity, uniaxial compressive strength (UCS) and elastic modulus of fractured sandstone all decrease gradually with the increase in the number of thermal shocks under two types of cooling methods. Compared with the cooling method in the water, the natural cooling method in the air causes less damage to the mechanical properties of fractured sandstone. The UCS and elastic modulus of fractured sandstone show a good exponential relationship with the number of thermal shocks. Both the P-wave velocity and elastic modulus can be used to describe the damage evolution of the fractured sandstone with the number of thermal shocks. The first thermal shock weakens the mechanical properties of fractured sandstone most severely, and the deterioration effect of mechanical properties is significantly reduced when the number of thermal shocks exceeds 4. In addition, the UCS and elastic modulus of fractured sandstone also have a good exponential relationship with the P-wave velocity. Finally, the thermal shock process of sandstone specimens is simulated in COMSOL Multiphysics, and the effects of the heat conductivity coefficient and prefabricated cracks on the internal temperature and stress fields of sandstone are discussed, revealing the mechanism of thermal cracking in sandstone under the effect of thermal shock.