The rock mass of the grotto temple has been affected by cooling and heating for a long time, which will lead to the change of the mechanical properties of the rock mass and affect the protection of the grotto temple. In this paper, the Dazu Rock Carving sandstone in Chongqing was taken as the research object, and the mechanical properties of the sandstone were studied through triaxial compression tests. The experimental process involves multiple conditions such as different heating-cooling cycle times, different durations of high and low temperatures, and different cooling methods. These test conditions were designed to analyze the influence of temperature changes on the peak stress and strain, elastic modulus, internal friction angle, cohesion, and failure mode of Dazu Rock Carving sandstone. The results could be found that: (1) The mechanical properties of sandstone weakened after multiple heating-cooling cycles. The values of strength, elastic modulus, cohesion, and internal friction angle decreased at different degrees. (2) The peak strain of sandstone increased after multiple heating-cooling cycles. (3) The failure mode of sandstone under triaxial compression was mainly shear failure with a single shear plane, while the failure mode became complex after multiple heating-cooling cycles, which resulted in the conjugated shear failure of “Y” type. (4) Confining pressure could improve the mechanical properties, which increased the strength and elastic modulus of the sandstone samples.