High-purity polycrystalline magnesia with different microstructures were prepared, and the effects of grain size on their bending strength and thermal shock damage resistance were investigated. The bending strength (δ_B) increased with decreasing grain size (D: μm), and expressed by following equationn. δ_B=403D^-0.26 (MPa). On the other hand, the thermal shock damage resistance increased linearly with increasing grain size, which was explained by the damage resistance parameter, R′′′=E/σ_T²(1-ν), where E is Young's modulus, ν is Poisson's ratio and σ_T is tensile strength. E and ν are unchanged and σ_T(σ_B×0.6) decreased with increasing grain size, so R′′′ increased with increasing grain size. Consequently, thermal shock damage resistance increased with increasing grain size.