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The anisotropic mechanical and acoustic emission characteristics of oil shale from room temperature to 600 °C were studied using a real-time high-temperature uniaxial rock testing machine independently developed by the Taiyuan University of Technology and an acoustic emission test system. The results indicate that the elastic modulus and compressive strength of the oil shale perpendicular to bedding direction first decrease and then increase with increasing temperature from room temperature to 600 °C and reach their minimum values at 400 °C, showing the characteristics of first softening and then hardening. The threshold temperature of oil shale mechanical parameters in the direction perpendicular to bedding direction is 400 °C. The strength of oil shale parallel to the bedding direction decreases sharply at 100 and 400 °C due to free water evaporation and kerogen pyrolysis, respectively. The threshold temperatures of oil shale mechanical parameters parallel to bedding direction are 100 and 400 °C. The micro-SEM and CT analyses conclude that the transformation of the mineral structure changes the mechanical parameters of oil shale perpendicular to bedding, and the evolution of the fracture structure dominates the change in the mechanical parameters of oil shale parallel to bedding. The results of this study can provide a theoretical data basis for elucidating the in situ pyrolysis of oil shales.