Poly(p-phenylene benzobisoxazole) (PBO) fiber shows fascinating properties including excellent mechanical performance, high crystallinity, and fairly good heat resistance as a kind of polymer fiber. Its properties make it a possible candidate as a precursor of carbon fiber. This paper mainly investigates the possibility of yielding carbon fiber from PBO by direct carbonization using a continuous process and multiple properties of yielded fiber treated under different heat treatment temperature (HTT). The results show that PBO fiber was able to sustain an HTT as high as 1400 °C under the inert atmosphere and that the shape of fiber was still preserved without failure. Using thermal gravimetric analysis (TGA) and TGA coupled with mass spectroscopy (TGA-MS), it was found that a significant mass loss procedure happened around 723.3 °C, along with the emission of various small molecules. The mechanical performance first suffered a decrease due to the rupture of the PBO structure and then slightly increased because of the generating of graphite crystallite based on the broken structure of PBO. It was observed that PBO’s microstructure transformed gradually to that of carbonaceous material, which could be the reason why the change of mechanical performance happened.