Due to the balanced strength-plasticity, gradient structural (GS) materials have received much attention in recent years. Extrusion machining (EM), a new severe plastic deformation, can prepare GS metal sheets in one step. However, studies on the forming mechanism and mechanical properties of GS plates prepared by EM are insufficient, and there is a gap in their microstructure evolution and thermal stability. Combining numerical simulation and experiments, the GS pure copper sheets prepared under different extrusion thicknesses t ch were systematically investigated. The results showed that the prepared sheets exhibited significant gradient distributions in equivalent strain, grain size, and hardness, which could be adjusted by varying t ch. As t ch increased, the material strength decreased, and the elongation tended to increase. Moreover, the increased t ch contributed to a higher lateral extrusion machining ratio. From the coarse-grained layer to fine-grained layer, the grain orientation tended to be randomized. When the annealing temperature exceeded 250°C, the gradient structure gradually disappeared, and the hardness greatly decreased. Upon annealing at 350°C, the tensile strength and elongation approximated the initial annealed samples. Accordingly, the GS sheets prepared by EM possessed better properties and provided relevant guidance to improve the theory and application of related processes.