Water saturation, organic matter content, and fractures are important factors influencing the physical properties of shale. In this study, shale samples were subjected to heating at 1 °C/min and then gradual cooling. An initial suite of tests was conducted at temperatures of 100 °C, 200 °C, 300 °C, 400 °C and 500 °C. The P-wave and S-wave velocities were measured, rock mechanics parameters were calculated, and then the uniaxial compressive strength test was performed. The mineral composition changed at 500 °C and the montmorillonite transformation of the shale to illite and rock diagenesis were gradually enhanced. Under the condition of heating, shale water saturation and organic matter content were reduced. The difference in the thermal mineral grain (thermal expansion anisotropy and inhomogeneous thermal expansion.) caused the corresponding changes in the internal structure of the rocks. When the changes exceeded those of the rock itself to some extent, they tended to produce microcracks within the rock, resulting in a change in the rock mechanics parameters. The results provide the fundamental parameters for rock mechanics and an important guide for high-temperature wellbore stability and hydraulic fracturing.