Computer simulations have been performed to obtain the thermodynamic properties of fluids with double square-well potentials, that is, potentials consisting of two adjacent square wells with different depths. The compressibility factor, excess energy, chemical potential, constant-volume excess heat capacity, and other derived properties have been obtained. These data have been used to test the performance of several perturbation theories for predicting the thermodynamic properties of this kind of fluids. Good agreement is found on the whole between theory and simulation at supercritical temperatures. The possible presence of anomalous behavior at high densities in the fluids considered has been also analyzed in light of the same theories, with the result that in general, they do not predict such anomalous behavior, with the possible exception of a Monte Carlo-based perturbation theory for relatively large potential widths at high densities and very low temperatures.