Annealing is a commonly used fabrication technology of graphene-assembled materials, which serves as an efficient method to control material properties. In graphene-assembled materials, the multilayer folded configuration of graphene has been widely observed due to the two dimensional characteristic of graphene. However, the manipulation on the mechanical properties of graphene-assembled materials by annealing has not been fully understood yet, especially considering the effect of folded microstructures. In this paper, we focus on the effect of annealing temperature on the mechanical properties of multilayer folded graphene. The dependences of elastic modulus, tensile strength, ultimate strain and fracture toughness on the annealing temperature have been systematically studied by molecular dynamics simulations. Moreover, the mechanisms behind the manipulations by annealing temperature have been revealed combining the structural evolutions obtained from the simulations. Our results indicate that the multilayer folded graphene after annealing under higher temperature exhibits significant reinforcement on its elastic modulus and tensile strength, while its ultimate strain drops instead. The fracture toughness is enhanced only within a certain range of annealing temperature. The controllable mechanical properties are attributed to the formation of interlayer covalent bonds between carbon atoms belonging to adjacent layers during the annealing processing. With the annealing temperature increases, more interlayer crosslinks are observed from simulations, which greatly strengthens the interlayer interaction. For the cases with lower annealing temperature, the folded graphene can be unfolded easily then finally flattened under tensile stretch, and the structural failure originates from the interlayer slippage in the folded area. However, for the cases with higher annealing temperature, the unfolding deformation is prevented since the folded graphene is blocked by much denser interlayer crosslinks, and the origins of structural failure transforms to the intralayer fracture in graphene plane. Considering the intralayer covalent bond interaction is far more powerful than the interlayer van der Waals interaction, the higher annealing temperature will bring higher elastic modulus and tensile strength due to the change on the structural failure mode, but it will sacrifice the ductility at the same time due to the blocked unfolding process of folded area. It is confirmed in our study that the annealing is an effective approach for the synthetic modulation on the stiffness, strength, ductility and toughness of multilayer folded graphene.