The shale oil extraction system faces a harsh downhole environment, and in order to ensure the long-term stability of the equipment, this paper proposes a thermal management system for the downhole shockwave generator with external thermal protection in conjunction with internal thermal storage. A composite phase change material thermal storage unit of paraffin and copper foam is constructed, and various thermal protection measures are evaluated. Results show that in the 100^◦C downhole thermal environment, the external environment has a significant influence on the internal electronic components in the system; when using an air-only insulation layer, the thermal radiation accounts for more than 30%, while the use of phenolic resin can effectively enhance the equivalent thermal resistance of the thermal protection layer; however, the effect of the thermal protection layer gradually decreases as the temperature of the external environment increases. Using the thermal management method of thermal protection combined with internal phase change thermal storage, the junction temperature of electronic components can be controlled to below 90^◦C with the continuous operation of 1.5 h.