Injecting ultra-low-temperature fluids, such as liquid carbon dioxide (CO2) and liquid nitrogen (LN2), into deep, low-permeability reservoirs for fracturing is an emerging waterless fracturing technology. When these fluids enter the reservoir, they rapidly exchange heat with the fracture walls, triggering intense cold shock, which influences fracture development. Although many scholars have studied the effects of nitrogen freezing and thawing on coal seams, the initial thermal exchange and cold shock process when LN2 first enters the rock mass remains unclear. This paper uses the visualizable material polymethyl methacrylate (PMMA) as the research object, conducting low-temperature impact experiments under different preset temperatures (20 °C, 40 °C, 60 °C, and 80 °C) to investigate the impact of thermal exchange during cold shock on PMMA fracturing. The results show: (1) During LN2 impact, PMMA's temperature changes in three stages: slow cooling (micro-cracks initiation), rapid cooling (formation of long fractures), and temperature recovery (crack formation completion). (2) In prolonged impacts, PMMA temperature decreases linearly, while in short-term cyclic impacts, temperature decreases exponentially with faster recovery, increasing the likelihood of micro-cracks formation. (3) Temperature differences have a dual effect on crack formation and propagation: they significantly enhance internal thermal stress, leading to rapid micro-cracks initiation and expansion, while also causing uneven temperature gradients in the crack propagation region, shifting fracture modes from tensile to complex composite failures and promoting secondary crack formation. However, a significant temperature differential may result in the development of a singular crack propagation path, hindering the formation of complex fracture networks. These findings offer theoretical insights into fracture network formation in waterless fracturing of low-permeability reservoirs.