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Thermal storage of sandstone is widely distributed in sedimentary basins in China with a very high degree of exploitation and utilization, while the low recharge rate is the bottleneck of its sustainable development. A new method is proposed to discover the physical and mechanical behaviors of sandstone after thermal cycling and hydro‐thermal cycling treatments in this study. The stress‐strain curves, strength, failure behavior, acoustic emission (AE), P‐wave velocity, density features, X‐ray, and microscope images of specimens are analyzed in detail to investigate and describe the differences of the sandstone after the two different experimental treatments. The results indicate that multiple thermal cycling and hydro‐thermal cycling have an obvious effect on the compaction stage of sandstone at the temperature of 100°C. Meanwhile, strengths and Young's modulus of specimens after hydro‐thermal cycling treatment decrease with cycling times and the reduce degree is greater than that of the thermal cycling treatment on sandstone. The brittleness of the sandstone decreases as the hydro‐thermal cycling number increases from 0 to 15, and the influence of hydro‐thermal cycling is greater than that of thermal cycling on sandstone. In addition, based on the limited cycling experimental results, the action of the thermal cycling leaded the thermal stress of the crystal to nonuniform, which leaded to micronarrow and sharp cracks in specimens. Furthermore, the action of the hydro‐thermal cycling generated thermal stress and ablation coupling effect, which leaded wider and rounder cracks than that of the specimen under thermal cycling condition. Finally, it indicates that hydro‐thermal cycling has a greater effect than that of the thermal cycling treatment on the physical and mechanical properties of sandstone on the macro‐ and microlevels.