Thermoplastic polyurethanes (TPUs) are polymeric materials employed in a wide array of applications in the industrial field. Knowledge of their mechanical behavior is essential in order to obtain an accurate prediction of stresses and deformations resulting from loading. Mechanical and physical properties of these materials have been studied in the past, but their stress-strain behavior in the presence of cyclic loading has comparatively received much less attention. In this paper, experimental and constitutive modeling aspects concerning cyclic mechanical response of a TPU are investigated. The effect of imposing a cyclic strain on a TPU is studied by means of an experimental procedure based on alternate-symmetric tests in strain control at different strain levels and frequencies. During the tests, the increase in temperature due to the hysteretic heating can also be controlled by means of a compressed air cooling apparatus specifically devised. By taking advantage of the possibility of controlling and stabilizing temperature, the cyclic mechanical response can then be investigated at different temperatures and strain levels. A transient thermal analysis using finite element method (FEM) was also carried out to investigate temperature distribution on the specimen. TPU exhibited cyclic softening, and by comparing stabilized material response at different temperatures, cyclic softening was shown to be composed of a mechanical contribution and a thermal component. The TPU’s stress-strain curve changed considerably under cyclic loading conditions. In particular, cyclic softening was observed to increase with temperature and imposed cyclic strain, with a progressive shrinking of hysteresis loop passing from virgin condition to stabilized cyclic condition. Based on the experimental data, the cyclic curve could be determined as a function of temperature and could be fitted with a hyperelastic law in which material parameters are temperature dependent. The TPU exhibited significant sensitivity to cyclic loading, and this study demonstrated the importance of considering mechanical response in cyclic condition for design purposes. In particular, the identification of mechanical and thermal contributions to cyclic softening can be useful when studying fatigue failure mechanisms of these materials. Knowledge of cyclic curve can help when developing constitutive model for polymers to better predict a long-term behavior when cyclic loading is expected. The introduction of a dependence of cyclic curve on temperature allows considering simultaneously the new “material state” of the cycled polymer and, with some limitations, the thermal influence on mechanical response.