The physical and mechanical properties of shale exhibit significant anisotropy, impacting the design and construction of high geothermal tunnels and deep resource mining. Laboratory studies on the physical and anisotropic mechanical properties of shale after various thermal treatments showed that rising temperatures caused an exponential decline in shale’s bulk and density, and the uneven expansion of the mineral particles within the rock caused a decrease in its uniaxial compression strength (UCS) and elastic modulus while increasing their anisotropy. The UCS is U-shaped with a change in bedding dip angle, whereas the elastic modulus is U-shaped or shoulder-shaped. Under the assumption that the rock microelement obeyed the Weibull distribution, the microstructure tensor improved Hoek–Brown strength criterion was introduced as the damage basis. Then a thermal–mechanical coupling damage constitutive model considering bedding dip angle and temperature was established. The model was found to be valid via the test results, especially in capturing the compaction and yield softening stages of shale. These findings have reference value for both underground structural engineering and deep resource mining.