Two-dimensional (2D) materials as exemplified by graphene have received a bunch of attention for their outstanding properties and enormous application potential. Recently, a macroscopic graphene-based material was fabricated simply by stacking the few-layer graphene flakes. The resulting film, called SGA, exhibits unusual mechanical behavior, which implies the existence of tension-compression asymmetry in its mechanical property. However, direct experimental verification of such unique mechanical property of the SGA remains deficient because of the difficulty in fixturing and applying load on the samples. In this work, we tackle these problems by transferring the SGA film onto a polyethylene (PE) substrate which can elongate and contract in response to the variation of the ambient temperature. Tensile and compressive loads thus can be controllably applied to the SGA samples through the SGA/PE interface by tuning the temperature variation. The stress-strain curves of the SGA, including tensile and compressive, are deduced based on the Stoney equation for thin film-substrate systems, showing the tension-compression asymmetry as expected. Theoretical modeling is carried out and reveals the structural basis of such unique mechanical behavior. This work not only provides a facile yet effective approach to measuring the stress-strain behavior of less-cohesive materials like SGA but also is of great value to the design and applications of SGA and other stacked assemblies of 2D materials in flexible sensors and actuators.