Experiments were conducted to study the mechanical characteristics of arkosic sandstones sampled from Pingyi, China. Rock samples were all thermally treated under the temperature ranging from room temperature to 800 °C. Results show that as the treatment temperature rises, the arkosic mineral composition does not change obviously, but the mechanical behaviors change regularly. Variation trend changes dramatically at 200 °C, 400 °C, and 500 °C. With thermal expansion of mineral particles being the dominant factor, mechanical behaviors barely change below 200 °C. When temperature ranges from 200-400 °C, it has an important effect on the mechanical properties because of the thermal fracture. From 400-500 °C, mechanical properties change dramatically as a result of the mutual influence of thermal fracture, fusion and re-crystallization, but the thermal fracture is the leading factor. Because of the fusion and re-crystallization, fractures are partly filled, which results in partial recovering of the mechanical strength. With the combined action of thermal fracture, fusion and re-crystallization after 600 °C, mechanical performance of arkosic sandstones degrades rapidly. Generally, the porosity and peak strain of arkosic sandstones increase with the temperature rising. However, the peak stress, elastic modulus and deformation modulus decrease simultaneously. Influenced by mineral particles' thermal expansion, thermal fracture, fusion, and re-crystallization and so on, the variation trend and amplitude are not the same at different temperature ranges, and the damage mechanism of sandstones also makes a difference.