We consider a microscopic collision model, i.e., a quantum system interacts with a hierarchical environment consisting of an auxiliary system and a reservoir. We show how the non-Markovian character of the system is influenced by the coupling strength of system-auxiliary system and auxiliary system-reservoir, initial system-environment correlations and the coherence of environment. Then we study the relation between non-Markovianity and thermodynamics properties, by studying the entropy change of system especially that from heat exchanges with memory effects, and we reveal the essence of entropy change between positive and negative values during non-Markovian evolution is due to the contribution of heat flux determined by coherence. And the information flow between the system and environment is always accompanied by energy exchange.