The results of measurements of the thermal conductivity of epoxy composites reinforced with unidirectional or chaotically distributed short carbon fibers, as well as carbon nanotubes, under thermal cycling in the temperature range of −150-150°C are presented. The cryogenic thermal cycling was performed with the amplitude of −196-135°C. The number of thermal cycles was varied. It was found that the thermal conductivity of the unidirectional composites decreased significantly already during the first thermal cycles. The carbon nanotube (CNT) fillers improved the cryogenic stability of CNT/epoxy composites even at very small concentrations (0.1 wt.%). An elevated temperature of thermal cycles promoted the “healing” of defects formed under the sign-varying heat impacts in composites with short carbon fibers or CNTs, and their thermal conductivity increased to the initial level.