For most ultrafine-grained metals, the yield stress increases with finer grain size, but the thermal stability reduces. In this study, high purity (99.999%) copper sheets were fabricated using three different techniques: symmetric rolling, asymmetric rolling and asymmetric cryorolling. In each case, the sheets were annealed at a temperature ranging from 50 °C to 125 °C for 1 h. Their mechanical properties were tensile-tested using dog-bone samples, and their microstructure evolution was examined using electron backscatter diffraction and transmission electron microscopy. The results show that the asymmetric-cryorolled copper sheets have finer grains and higher tensile strength, and better thermal stability compared with the copper sheets subjected to symmetric rolling and asymmetric rolling and low-temperature annealing. The finer grains in copper sheets subjected to asymmetric cryorolling result from the additional shear strain and severe plastic deformation at low temperature. The improvement in the thermal stability may be due mainly to the vacancy clusters, small laminate thickness, low-angle grain boundary and high misorientation angle in asymmetric cryorolled samples. These results can provide significant insights into the development of ultrafine-grained metal sheets with both excellent mechanical properties and high thermal stability.