To achieve carbon neutrality and optimize China's energy structure, pyrolysis (thermal cracking) was selected to recycle the Waste Fischer-Tropsch wax (WFTW) produced in large quantities from Fischer-Tropsch synthesis plants, which has rich hydrocarbon content and high calorific value. Thermogravimetric analysis (TGA), differential scanning calorimetry (DSC), thermogravimetry-mass spectrometry (TG-MS), and thermogravimetric-infrared spectroscopy (TG-IR) were used to investigate the pyrolysis characteristics and mechanism of WFTW. The TG and DSC showed that the main pyrolysis temperature range of WFTW was 230–480 °C, and the heating rate affected the temperature range greatly. Theoretically, more than 87% of the calorific value in the WFTW can be recovered as liquid fuels, and the most suitable heating rate was 15 °C/min. TG-MS and TG-IR showed pyrolysis products at different stages to further investigate the pyrolysis process and provide a basis for recycling WFTW. The activation energy calculated by Kissinger method is 215 ± 3 kJ/mol, and the mean apparent activation energy calculated by Starink method is 133 ± 14 kJ/mol, showing a good agreement with Kissinger method at a high conversion rate (70–80%).