By filling hydrophobic furfuryl alcohol (FA) polymer into the bamboo structure, furfurylation can efficiently reduce the hygroscopicity of bamboo and enhance its mechanical properties and biological durability. However, limited studies on the weathering performance and thermal degradation behavior of furfurylated bamboo have been reported. In this study, furfurylated moso bamboo with 14.9%, 22.0%, and 28.6% weight percent gain (WPG) were prepared and their natural weathering performance and thermal degradation behavior were investigated using color measurements, ATR-FTIR, XPS, and TG-FTIR. The findings showed that at higher WPG, a darker color of the bamboo surface occurred. Although the initial distinction between the color parameters of the control and furfurylated bamboo is clear, it tends to become uniform during weathering. Furfurylation has a positive effect on the resistance to degradation of bamboo surfaces and the furfurylated samples exhibited smaller color changes and weight loss after weathering. The O/C ratio is clearly increased after weathering, indicating that substantial surface oxidation occurs both in unmodified and furfurylated bamboo. Natural weathering causes obvious degradation and photo-oxidation of FA polymers on the bamboo surface. The thermal degradation behavior between control and furfurylated bamboo is basically similar, but furfurylation delays the degradation of bamboo by elevating the peak temperatures. All of the results and findings will help increase the understanding of the weathering and thermal behavior of furfurylated bamboo and optimize its manufacturing process and utilization during its life time.