Hot dry rock (HDR) is a kind of clean, renewable energy and has received widespread attention worldwide in recent years. It is significant to explore the dynamic tensile properties of thermal-treated granite using different cooling methods for mining HDR. In the current work, a series of tests were performed containing ultrasonic testing and Split Hopkinson Pressure Bar (SHPB) tests on granite at different temperatures (25, 200, 400, 500, 600, and 800 °C) after different cooling methods (including natural, water, and liquid nitrogen cooling). Then the dynamic tensile properties, thermal shock damage, and energy evolution process of granite using different cooling methods were compared and analyzed. The high-speed camera and Digital Image Correlation (DIC) technology were used to analyze the tensile failure mode and the failure mechanism under different thermal treatment and cooling conditions. According to the experimental results, with the increasing thermal treatment temperature by adopting the three cooling methods, the P-wave velocity, dynamic tensile strength, and final absorbed energy of granite decreased, and thermal shock damage increased. In addition, the effect of liquid nitrogen cooling on thermal-treated granite was the most obvious among the three methods, followed by water cooling and natural cooling. Moreover, with the increasing treatment temperature, the time for the occurrence of central cracks in the specimen after impact was prolonged, and the areas of the shear failure zone and tensile failure zone increased; the influence of different cooling methods was also evident (natural cooling < water cooling < liquid nitrogen cooling). The experimental findings were expected to offer a reference for understanding the dynamic tensile properties and failure mechanism of thermal-treated granite after rapid cooling. By studying the degree of deterioration of rock dynamic properties by different cooling methods, the exploitation efficiency of geothermal wells can be improved.