In the full life cycle of a well, thermal and mechanical loads may yield serious issues for the cement sheath integrity. However, the information for the integrity assessment, such as temperature and strain, is difficult to acquire underground. In this study, a full-scale experimental facility is used, allowing us to mimic the casing-cement sheath-formation (CCSF) system of a well. The system is monitored by fiber Bragg grating (FBG), enabling a real-time, high-accuracy, nondestructive measurement of temperature and strain inside the cement sheath in the sequence of setting and completion stage. Our observation reveals that the temperature of the cement sample cured in the mold is 22.3°C higher than the curing temperature; however, this temperature difference is not observed in the cement sheath cured in the CCSF system. This implies that the data obtained from the cement sample may overestimate the early-age performance of the cement sheath. Besides, the FBG measures a free strain of the tested cement during the hydration to be −370 με. This shrinkage can yield an internal stress in the CCSF system, which leads the cement sheath to swell circumferentially during the setting stage. During the completion stage, when the cement sheath is subjected to cyclic loading at three casing pressure levels, (i i.e., 10, 20, and 50 MPa), the maximum increment of circumferential strain reaches 160, 270, and 850 με, respectively. A plastic strain is observed for the 50 MPa pressure level, but not for the two other pressure levels (10 and 20 MPa). Unlike the observations in cyclic loading tests on cement samples, the plastic strain in the CCSF system accumulates linearly in the first 10 cycles and then increases slowly afterward. This difference is suggested to be attributed to the redistribution of internal stress along with the accumulation of plastic strain. Finally, the strains measured by the FBG are validated by the simulation, demonstrating the promising applicability of the FBG technology for monitoring the integrity of cement sheath.