Wendeng area is one of the potential hot dry rock pilot in China. In this paper, the 1-km-long core between 3 km and 4 km depth is taken from one deep geothermal exploration hole in Wendeng area. The core parameters were tested in laboratory including mechanical and thermal properties. The variation of the above parameters with depth is studied. The results indicate that the higher the strength of the rock, the pulverized failure occurs during uniaxial compression. Poisson’s ratio is negatively correlated with uniaxial compressive strength and elastic modulus. Rock samples with low compressive strength may not have low tensile strength, but rock samples with high compressive strength generally have high tensile strength. In addition, the influence of lithology on cohesion, fracture toughness and thermal conductivity is also great, but its influence on internal friction angle and specific heat capacity is small. The mechanical and thermal properties of rocks in the depth range of 3000–4000 m are mainly affected by lithology and microstructure, but have no direct correlation with depth.