Nitrogen is generally used as a protective gas to provide an oxygen-free environment for the heat treatment of biomaterials. In order to indicate the effect of nitrogen heat treatment of bamboo, the changes in terms of the chemical composition, chemical functional groups, cellulose crystallinity index, surface color, micro-mechanics and anti-mildew properties of bamboo, and the interaction relationship among the properties, were analyzed. The mass loss ratio of treated bamboo samples increased significantly during the process of thermal modification. In detail, the hemicellulose exhibited a decreasing tendency from 23.7% to 16.6%, while the lignin content presented an increasing tendency. The decreased hemicellulose and cellulose contents are a benefit to enhancing lignin content and crystallinity degree, thus increasing the modulus of elasticity and hardness of treated bamboo cell walls. The obtained bamboo sample treated at 190 °C/3 h displayed the best micro-mechanical properties. It presented a maximum modulus of elasticity of 22.1 GPa and a hardness of 0.97 GPa. Meanwhile, the lignin and cellulose content was proven to increase in the bamboo surface in chemical composition analysis, resulting in lower free-hydroxyl groups on the bamboo surface. Thus, the contact angle value of bamboo increased. Furthermore, nitrogen thermal modification positively contributed to the mildew resistance of bamboo specimens.