As a novel lightweight composite structure with notable mechanical resistance and thermal insulation characteristics in high‐temperature environments, the sandwich cylindrical shell with entangled metallic wire mesh (SCS‐EMWM) has been growing interest in industrial applications. This study focuses on investigating the thermo‐mechanical behavior of the SCS‐EMWM in high‐temperature environments. The static mechanical properties of entangled metal wire mesh (EMWM) are first characterized, and the macroscopic mechanical properties are identified using the Ogden–Mullins model. Subsequently, the deformation modes at different densities and temperatures are analyzed through theoretical and finite element methods. The radial compression test of SCS‐EMWM is performed to characterize its energy dissipation (ΔW), loss factor (η), and secant stiffness (K). The quasi‐static loading‐unloading results of the EMWM reveal a positive correlation between temperature, density, and the mechanical behavior. In addition, as the density and temperature increase, the peak load of SCS‐EMWM continuously increases from 20 to 200 N. Under high‐temperature conditions, the radial compression test of SCS‐EMWM reveals a significant concurrence between experimental and simulation results regarding load variations. Furthermore, in comparison to EMWM, the loss factor of SCS‐EMWM exhibits an approximate increase of 0.1 and shows a positive correlation with temperature, while it decreases with increasing density.