We have investigated the effect of annealing temperature on the microstructure, magnetic and mechanical properties of MgB2 superconducting samples employing X-ray diffraction (XRD), scanning electron microscopy (SEM), ac susceptibility and Vickers microhardness measurements. XRD patterns and SEM micrographs are used to obtain information about lattice parameters and grain size, respectively. These measurements indicate that MgB2 grain size, lattice parameters, and critical temperature are increased, and grain connectivity is improved, with increasing the sintering temperature up to 850 degrees C. It is also observed that the Vickers microhardness of the samples is dependent of the sintering temperature and applied load. In addition, we calculate the load dependent mechanical properties of MgB2 samples such as the Young's modulus, yield strength, and fracture toughness. The possible reasons for the observed improvements in microstructure, superconducting and mechanical properties due to annealing temperature are discussed.