Exploring dynamic mechanical responses and failure behaviors of hot dry rock (HDR) is significant for geothermal exploitation and stability assessment. In this study, via the split Hopkinson pressure bar (SHPB) system, a series of dynamic compression tests were conducted on granite treated by cyclic thermal shocks at different temperatures. We analyzed the effects of cyclic thermal shock on the thermal-related physical and dynamic mechanical behaviors of granite. Specifically, the P-wave velocity, dynamic strength, and elastic modulus of the tested granite decrease with increasing temperature and cycle number, while porosity and peak strain increase. The degradation law of dynamic mechanical properties could be described by a cubic polynomial. Cyclic thermal shock promotes shear cracks propagation, causing dynamic failure mode of granite to transition from splitting to tensile-shear composite failure, accompanied by surface spalling and debris splashing. Moreover, the thermal shock damage evolution and coupled failure mechanism of tested granite are discussed. The evolution of thermal shock damage with thermal shock cycle numbers shows an obvious S-shaped surface, featured by an exponential correlation with dynamic mechanical parameters. In addition, with increasing thermal shock temperature and cycles, granite mineral species barely change, but the length and width of thermal cracks increase significantly. The non-uniform expansion of minerals, thermal shock-induced cracking, and water-rock interaction are primary factors for deteriorating dynamic mechanical properties of granite under cyclic thermal shock.