Oil-based drilling fluids are widely used in deep drilling, and their cooling effect on shale reservoirs is critical for wellbore stability. To reveal the sudden cooling effect of oil-based drilling fluid on the dynamic compressive behavior of deep shale reservoirs, oil-based fluid cooling experiments were conducted on heated Longmaxi shale samples (25–200 °C) with five bedding orientations, followed by a series of dynamic compression tests using same incident energy. Anisotropic macroscopic thermal fractures occurred in the samples at 200 °C after oil-based fluid cooling, and the imbibed oil-based fluid entirely covered the bedding surfaces during cooling. The post-peak behavior of the dynamic stress-strain relationships of samples illustrated bedding- and temperature-dependent characteristics. Dynamic strength of the samples decreased with increasing temperature for each bedding orientation, and the dynamic strength versus bedding orientation showed a V-shaped curve at all temperatures. Anisotropic fragment degree of the samples was classified into three groups using debris screening analysis. Further, the dynamic strength reduction responses and the possible nature of dynamic strength anisotropy in shale reservoirs after oil-based drilling fluid cooling were discussed. This study helps to improve the oil-based drilling fluid application in shale reservoirs and understand the behavior of deep reservoirs during drilling.