With the development of deep Earth engineering, the stability of surrounding rocks subjected to high temperatures from fire hazards has become an increasingly prominent issue. Therefore, studying the physical and mechanical properties of rocks under different thermal treatment modes is of great significance for the design of underground engineering. Taking red sandstone as the research object, this paper conducts physical parameter tests, uniaxial compression tests, and X-ray diffraction (XRD) on specimens under real-time high temperatures and natural cooling in the range of 600–1000 °C, to analyze the variations in specimen composition, the correlation between physical and mechanical properties and temperature, and to explore the underlying mechanisms. The results show that under both real-time high temperatures and natural cooling, the volume of sandstone increases while the mass decreases with rising temperature. At 1000 °C, the volume expansion rates are 3.30% and 3.80%, and the mass loss rates are 6.30% and 5.60%, respectively. Mechanical parameters, including peak strength, elastic modulus, and peak strain under the two treatments, all deteriorate significantly compared with those at room temperature. At 1000 °C, peak strength decreases by 54.83% and 36.26%, elastic modulus decreases by 74.55% and 67.96%, and peak strain increases by 65.63% and 43.75%, respectively. High-temperature-induced changes in the internal mineral structure and composition of sandstone are the main causes of rock mechanical property deterioration. During the cooling process, thermal shrinkage and recrystallization of mineral particles densify the rock structure; therefore, the compressive strength of naturally cooled sandstone is higher than that under real-time high temperatures. This study can provide theoretical guidance for the repair and reinforcement of rock engineering after high-temperature action.