To study the effect of the finishing process on the mechanical properties of polybutylene terephthalate/polyethylene terephthalate (PBT/PET) bicomponent polyester fiber, PBT/PET yarns were subjected to heat-moisture and dry-heat treatment at different temperatures and times. The tensile properties, elastic recovery, stress relaxation, and creep properties of the yarn were tested. The crystalline structure of PBT/PET fiber before and after heat treatment was studied by X-ray diffraction (XRD) to explain the change in yarn mechanical properties. The mechanical model of PBT/PET yarn was established, and the change in mechanical properties was investigated theoretically. The results show that the strength of PBT/PET yarn decreases by 10.77%, and the elongation increase by 34.81% after dry-hear treatment at 160°C for 25 min. The mechanical properties of the yarn are affected by the temperature and time of heat treatment. XRD analysis shows that the crystallinity of PBT/PET yarn decreases with the increase of heat treatment temperature and time, which may be the reason for the change in mechanical properties of PBT/PET yarn. In addition, the established model can fairly well explain the viscoelasticity of PBT/PET yarn.