As the CNC machine tool feed mechanism is affected by joint action of heat and load during the working process, thermal–mechanical coupling analysis and experimental research on CNC machine tool feed mechanism are conducted. On the basis of exploring the thermal–mechanical coupling effect of CNC machine tool feed mechanism, a thermal–mechanical coupling dynamic analysis method is proposed through combining multi-step finite element simulation with temperature field experiment. According to the proposed method, the transient and steady-state simulation analysis on CNC machine tool feed mechanism are conducted and conclusions obtained are as follows, before the whole feed mechanism reaches thermal balance state, the thermal–mechanical coupling effect makes the deformation of the feed mechanism increase with the temperature rising. The correctness of the proposed thermal–mechanical coupling dynamic analysis method was verified by the contrastive analysis of the experiments. Therefore, in the process of CNC machine tool feed mechanism’s analysis and design, the influence of thermal–mechanical coupling effect on dynamic performance should be considered.