Studying the damage correlation mechanism of rocks subjected to heating–cooling alternations is of important significance for deeply understanding the permeability increase mechanism of reservoirs during heat extraction from hot dry rocks and assessing the reservoir stability. By carrying out the uniaxial compression test, Brazilian splitting test, nuclear magnetic resonance test, and scanning electron microscopy test on granite after heating–cooling alternations, the evolution laws of physical and mechanical properties as well as the microstructures of granite were studied. In addition, the multi-scale response characteristics and the damage correlation mechanism of granite after heating–cooling alternations were analyzed. Research results show that, when the heat treatment temperature rises to 600 °C, the physical and mechanical parameters, including the wave velocity, strength, and elastic modulus, reduce abruptly. The heat treatment temperature exerts more significant influences on the physical and mechanical properties of the granite than the heating–cooling alternation cycles. Both the temperature and alternation cycles are beneficial to the microcrack development and propagation, while the temperature more significantly affects the development degree of microcracks. Under the external load, the microscopic defects in the granite after heating–cooling alternations guide the propagation of macrocracks and cause more serious damage to the microstructures in the granite, exhibiting more complex failure modes. The results provide a theoretical basis for fracturing technology and stability evaluation of high-temperature reservoirs.