To investigate the effect of cyclic thermal shock and mechanical loading on the fracture behavior of magnesia refractories showing different brittleness, the as-received and cyclic thermally shocked specimens are subjected to monotonic and cyclic wedge splitting test. The whole duration of test is monitored by digital image correlation and acoustic emission. Both thermal and mechanical fatigue resistance increase with the reduction of brittleness. Repetitive thermal shock results in pronounced reduction of strength. However, the specific fracture energy and nonlinearity increase after exposure to thermal shock due to the expanded micro-crack network inducing the development of a significant fracture process zone. Periodic loading mainly leads to the decrease of strain bearing capacity, as the fatigue loads favor the extension of crack tip instead of fracture process zone expansion. The combined application of periodic thermal shock and mechanical loads gives a new insight into the progressive damage behavior of refractory under critical conditions.