Cryogenic fracturing is a type of thermal shocking in which a cold liquid or gas is injected into a hot formation to create fractures. Research has shown that like traditional hydraulic fracturing, cryogenic fracturing could improve oil/gas recovery from unconventional reservoirs. Research has also shown, though, that, unlike traditional hydraulic fracturing, which uses water-based fluids, cryogenic fracturing limits and can even heal damage that is near the wellbore. Previous studies on thermal shocking, however, have generally examined only a few parameters at a time. To provide a more complete overview of the process, this study examines the effects of thermal shocking with low-temperature nitrogen gas on the porosities, permeabilities, and rock mechanical properties of unconventional reservoirs. Three cycles of thermal shocking were applied to a core sample and an outcrop sample from an unconventional reservoir. Each sample was heated at 82 °C for 1 h, and then nitrogen at −18 °C was injected at 6.89 MPa for 5 min. The porosities and permeabilities of the cores and the velocities at which ultrasonic waves travelled through them were measured both before and after each thermal shock. The results strongly suggest that the thermal shocking produced cracks. The porosity increased by between 1.34% and 14.3%, the permeability increased by between 17.4% and 920%, and the average P-wave velocity decreased by up to 100 m/s. From the reduction in P-wave velocity, it was determined that the brittleness ratio increased by between 2 and 4 and the fracability index increased by between 0.2 and 0.8.