Unconventional oil and gas reservoirs, characterized by low porosity and permeability, often require multistage fracturing techniques for development. The high-pressure fracturing fluids with large volumes can easily cause alternating changes in both temperature and pressure within the casing. Using a theoretical model and field data from hydraulic fracturing operations, this paper calculated the alternating ranges of axial loads and temperatures in the reservoir section. Based on the calculation results, the temperature–load alternating coupling test of the P110 casing was carried out, and the tensile test was performed to analyze the yield strength variation law of the casing material. The results indicate that the yield strength, ultimate strength, and elastic modulus of casing materials are decreased under alternating thermal–mechanical coupling conditions. As the number of alternating cycles increases, there is an initial rapid decrease followed by a slower declining trend. Moreover, the tension–tension (T–T) cycles induce greater reductions in yield strength and ultimate strength than tension–compression (T–C) cycles. Meanwhile, under the same axial load condition, the higher the circulating temperature, the more significant the reduction in yield strength and ultimate strength. In essence, this is the result of the coupling effect of low-cycle fatigue and temperature aging. Finally, based on the experimental data, a yield strength prediction model of the P110 casing under the alternating thermal–mechanical coupling condition was established. The research results provide theoretical guidance for the safe design and material selection of a casing string under multistage volumetric fracturing conditions of shale gas exploration.