Clay is a vital industrial raw material, and its physical and mechanical properties undergo significant changes when heated at high temperatures. A good understanding of those properties can provide details on the best use of clay, and may eventually facilitate new application areas. In this paper, the physical and mechanical properties of clay after exposure to high temperatures at two different oxygen levels and cooled in two different ways are studied. In the experiment, the clay samples are heated at high temperatures in anoxic conditions and air. The anoxic conditions are facilitated by a closed crucible. After the sample reaches the target temperature (400°C, 500°C, 600°C, 700°C, 800°C and 900°C), it is cooled to room temperature slowly in the furnace. The samples that are heated in air are either cooled in the furnace or quenched in water. Finally, the appearance of the clay samples in terms of their surface color and development of cracks, as well as their shrinkage, mass loss, hardness, strength and deformation, and the color of the core are examined and measured. The results show that the color of the surface of the clay samples heated in anoxic conditions and air significantly differs, and the color of the core is grayish black at temperatures that are below 800°C, which is possibly related to the oxidation and reduction of iron ions. Cracks in the clay samples partially offset shrinkage. The clay samples quenched in water show larger cracks and lower compressive strength. The mass of the samples does not change at temperatures that exceed 800°C. The hardness also does not change at temperatures that are higher than 700°C. In summary, temperatures between 700°C and 800°C have the most impact on clay because many of the physical properties (including their surface color and color of the core, shrinkage, mass, hardness, and strength) vary greatly at this temperature range.