Pure carbon nanotube (CNT) yarns were spun from highly aligned multiwall CNT forests, and their thermal and cryogenic behaviour under cyclic heating- cooling treatment was studied using a Dynamic Mechanical Analyser over a temperature range from -100 to 200 C. The effect of static tension force applied on the CNT yarn during the treatment was also examined. The study primarily focused on the dimensional changes of the CNT spun yarns in response to thermal and cryogenic treatment, but the changes in morphology and mechanical properties were also discussed. The results revealed a special thermal/cryogenic behaviour of the CNT spun yarns, and provided technical information and engineering data for the design and application of CNT spun yarns.