Recently, high-temperature composites reinforced with in-situ phases have been developed as a new class of composites for harsh environments. The behaviour of these composites under sudden heating and cooling conditions is greatly influenced by the type and fraction of components. The aim of this study is to investigate the microstructural properties and mechanical response of iron based composites after thermal shock cycling. The fabrication process involved in-situ powder metallurgy (IPM) sintering of Fe–B4C starting powders. The samples were subjected to thermal shock with a constant temperature differences (ΔT: 600 °C) and varied cycles (N: 1–50). Comparison of microstructural changes and mechanical behaviour before and after thermal shock has been carried out. The boron atoms released from the initial B4C generated diffusion zones in the matrix dominated by iron boride phases (Fe2B/FeB). An effective matrix-reinforcement interface has been created by in-situ powder metallurgy, where boride phases are almost homogeneously distributed in the iron matrix. While the hardness of the composites was significantly developed by the Fe2B/FeB phases, the addition of B4C resulted in a reduction in the coefficient of thermal expansion (CTE). The in-situ phases contributed in the minimisation of the coefficient mismatch by balancing the thermal expansion coefficients between iron and the initial B4C. Under the influence of thermal shock, microcracks and then macrocracks formed on the sample surfaces, increasing in width and depth with thermal cycles. This resulted in accelerated fracture damage under post-thermal loading. Both the impact and flexural strengths of the samples were significantly reduced as the number of thermal cycles increased. Although the 20% B4C reinforced composite provided maximum hardness, it showed poor resistance to thermal loading. The best results for mechanical loads were achieved by the 5% B4C reinforced composite, which showed no cracks even after 50 thermal cycling.