The aim of this thesis is to investigate the mechanical and thermal behaviour of HTS coated conductor cables for EUROfusion DEMO magnets. One of the issue in large HTS magnets is the safety against a quench. A quench is a sudden thermal runway in which the energy stored in the magnet is turned into heat in a localized volume of the magnet. If no countermeasures are applied, the localized temperature increment might damage the magnet. A Quench Experiment has been carried out to provide experimental data on the full quench evolution in sub-size HTS cables for fusion application. The SULTAN facility has been upgraded. This upgrade allows us to provide large power to the conductor for indefinite time. Previously, the maximum power was limited to few W for few seconds. Four different sub-size conductors designed for the Central Solenoid magnet of EU DEMO have been fabricated with REBCO coated conductors. All the cables are based on a triplet of round strands, each strand is composed of two half-round copper profiles surrounding a stack of tapes. The copper profiles and the tapes are soldered together. The triplet is insert in steel jacket to obtain forced-flow conductors. The quench is triggered by sending hot helium in the conductor and the temperature evolutions of the conductor components (jacket, helium) have been measured up to temperatures of 150 K. Due to the gradients between cable, He and jacket, the maximum estimated temperature value on the cable is above 200 K, depending on the specific cable design. The experimental results of the different conductors have been interpreted with the support of a multi-physics code (THEA). It has been seen that decreasing the transverse thermal resistance between strand and jacket of one order of magnitude leads to a decrease in the temperature rise rate from tens of K/S to just few K/s: the heat produced in the cable can be better absorbed by the large thermal inertia of the jacket. The he multi-physics model indicates that, in case of the quench is caused by hot helium flow, the voltage rises much faster in case of homogenous magnetic field, leading to a lower hot spot temperature at the quench detection. The combination of large current and high magnetic field results in very large transverse stress on the cable. The superconducting ceramic material is brittle, and the mechanical limit for coated conductors depends on the direction of the force. When the limit is exceeded, the current carrying ability of the cable is compromised. We quantified the critical transverse pressure at which the performance of the cable is decreased. Various round strands were fabricated, exploring different reinforcement options. The critical transverse pressure is measured on a strand by testing it at liquid nitrogen temperature, applying the force thanks to an anvil. The measured critical transverse pressure values indicate which strand designs should be discarded, i.e. when the measured critical transverse pressure values are lower than the nominal ones foreseen in the full cable design. For one of the reinforcement options, a finite element mechanical model was developed to better understand the mechanics and to propose improvement to the cable design. It was found that the performance might be improved by wrapping the strand with a wire whose thermal expansion coefficient is higher than the of copper. The strand is precompressed during the cool down, decreasing the stress that causes the rupture of the tapes.