Despite the importance of experimental data on coefficient of linear thermal expansion (CLTE) for geomechanical study of the Bazhenov formation (BF) rocks the literature on such data is practically absent. Differential CLTE values of BF rock samples and their variations within wide temperature intervals were determined including the degree of CLTE anisotropy with the equipment specially adapted for CLTE measurements on standard core samples. It was established that the values of CLTE of BF rocks exceed significantly (by hundreds percent) the typical values of CLTE of sedimentary rocks. It was shown that the CLTE of BF rocks has high degree of anisotropy and irregular behavior at elevated temperatures (up to 300°C), that can be related to different values of total organic carbon in BF rock samples. For the same series of rock samples thermal conductivity, that is sensitive indicator of changes in rock condition, was measured before and after heating the samples. Results showed that thermal conductivity of rock samples did not change after heating. It was established that the directions of main thermal conductivity and CLTE axes coincide practically.