The physico-mechanical properties of rock materials are generally affected by temperature variations. The changes in the behaviour of the rock material would depend on several factors, for instance, the rate and duration of thermal exposure, the state of stress, and the mineral composition. Earlier investigations by various researchers established the physico-mechanical behavioural changes of massive and anisotropic shale and sandstone individually under varied thermal exposure. However, the properties of intercalated shale-sandstone as a composite material appear not to have been thoroughly assessed. Therefore, the core aim of this study is to analyse variations observed in the physico-mechanical properties of intercalated shale and sandstone before and after exposure to different thermal conditions. To accomplish the objective, the core specimens of intercalated shale-sandstone (from Korba, Chhattisgarh, India) were divided into different sets. Each set was treated with cycles of varying temperature conditions, such as low- and high-temperature thermal shock as well as freeze-thaw. Furthermore, to assess the mechanical properties, the treated specimens were subjected to the Brazilian test to determine the tensile strength. Both the physical and mechanical properties were recorded at an interval with progressing cycles. The test results were compared and comprehensively analysed.