A series of tests were conducted to study the thermal shock damage effect on the physical and mechanical properties of granite and limestone in different cooling media. The dry rock specimens were heated slowly to different target temperatures ranging from 25 °C–800 °C and then quickly cooled to room temperature in air, water, and high-viscosity liquid. After the heat treatment, physical and mechanical properties, such as P-wave velocity, mass, uniaxial compressive strength, elastic modulus and microstructure, were measured. The test results showed that the P-wave velocity, uniaxial compressive strength, and elastic modulus of the heated limestone and granite were all lower after thermal shock in the three cooling media. With increasing heating temperature, the changes in physical and mechanical properties became more pronounced. Air cooling has least influence on rock behavior among the three cooling media. Compared with water cooling, high-viscosity liquid cooling caused less degradation on the physical and mechanical parameters of rocks at any target temperature, which indicates that the thermal shock effect of high-viscosity liquid cooling on rocks was slightly lower than that of water cooling. The brittleness of the rock was affected by the treatment temperature and cooling media. When the treatment temperature was low, the brittleness of the rock was obvious. The brittleness of rock was maintained well by air cooling and was weakened by high-viscosity liquid cooling. Water cooling made the rock more ductility than the other two media.