• Shear band affected zones induce significant rejuvenation during thermal cycles. • Semi-in-situ microhardness test confirmed the contribution source of rejuvenation. • Founding an effective method to improve the plasticity of damaged metallic glass. Cryogenic thermal cycling (CTC) treatment is a simple and effective technique to rejuvenate metallic glasses (MGs). However, how the structural heterogeneities of MGs are influenced by CTC is still a problem. In this study, the effects of CTC on mechanical properties and thermal responses of as-cast and as-deformed Zr-based bulk metallic glasses (BMGs) were investigated. Due to the existence of shear bands and their affected zones, the deformed BMG presents greater sensitivity to the CTC treatment, and its softening effect first increases and then saturates with the number of cycles.