During large-scale hydraulic fracturing in shale gas horizontal wells, a cement sheath easily loses its integrity due to the fluctuation and continuous change of wellbore temperature and pressure and the cyclic loading and unloading, which will threaten wellbore integrity. In order to figure out the failure mechanism of cement sheath integrity under strong alternating thermal loads and prevent the failure of cement sheath barriers during large-scale hydraulic fracturing in shale gas horizontal wells, this paper adopted the independently developed experimental device to test and evaluate the sealing integrity and mechanical integrity of the full-scale combination of production casing, cement sheath and intermediate casing under strong alternating thermal loads. And the integrity experimental results of two kinds of full-scale cement sheaths (conventional and high-strength cement sheaths) under three kinds of strong alternating thermal loads (cycle number for the occurrence of discontinuous CO2 bubble: 4 and 14; cycle number for the occurrence of continuous CO2 bubble: 5 and 15; alternating thermal load: 30–120 °C and 30–150 °C) were obtained. And the following research results were obtained. First, alternating thermal load has a significant negative impact on the integrity of cement sheath, and with the increase of alternating temperature and temperature difference, the thermal cycle number characterizing the sealing integrity of cement sheath reduces sharply. Second, the interfacial mechanical property indicators that characterize the shearing force between cement sheath and casing and the axial and radial bonding strength decrease with the increase of the alternating temperature. Third, the micro annulus in cement sheath is mainly caused by discordant deformation between the casing and the cement sheath materials, and the mechanical degradation and deterioration of the set cement induced by the alternating thermal load aggravate the failure of the sealing integrity of cement sheath to a certain degree. In conclusion, the research results can provide a reference for the design of large-scale fracturing in deep shale gas horizontal wells.