The production of lunar regolith composites is a promising venture, especially when enabled by extrusion-based additive manufacturing techniques such as direct ink write. However, both three-dimensional (3D) printing production and usage of polymer composites containing regolish on the lunar surface are challenges due to harsh environmental conditions such as severe thermal cycling. While thermal degradation in polymer composites under thermal cycling has been studied, there is limited understanding of how polymer properties impact the mechanical performance of lunar regolith composites when both printing and usage are carried out under extreme thermal conditions. Here, we aim to bridge that gap through the creation of composites containing a lunar Highlands regolith simulant suspended in an ultraviolet (UV) curable binder, which were printed at −30 °C and thermally cycled between weekly lunar day (127 °C) and weekly night (−190 °C) temperatures. We validate that thermal stresses cause both physical and chemical degradation since the regolith simulant composites become stiffer, more porous, and show yellowing after exposure to thermal cycling. Moreover, we indicate that chemical degradation mechanisms seem to compete with residual polymerization in certain formulations. We attribute this phenomenon to partial crystallization of monomer species during printing at −30 °C, resulting in low vinyl bond conversion during initial curing. The results presented here shed light on the intricate interplay between thermal stresses, uncured polymer properties, and degradation mechanisms, which can help guide future use cases of regolith composites for lunar infrastructure needs.