Rocks in geothermal reservoirs are often subjected to cyclic thermal shock, the stable operation of the enhanced geothermal system (EGS) is affected by the physical and mechanical properties of rock. There is no sufficient basis for the selection of thermal shock parameters in previous experiments. To this end, this study selected temperature level, constant temperature duration, and thermal shock number as the experimental variables and conducted thermal shock treatment on coarse marble specimens. Then, scanning electron microscope (SEM) tests were used to provide variations in microscopic structure, uniaxial compression tests were carried out, and acoustic emission (AE) technology was applied to investigate the mechanical behaviors and fracture features. The increase of temperature level and the thermal shock number have different degrees of adverse effects on the physical and mechanical properties of rock specimens. The cracks between crystals become larger with the increase of thermal shock number and the crystal structure is gradually destroyed with the elevation of temperature. Two hours is considered as the threshold of constant temperature duration, after which the physical and mechanical properties of specimens stabilize. The temperature level has the greatest influence on crack-initiation stress and crack-damage stress.