A self-adaptive compensation method for feed axis thermal error, which belongs to the field of error compensation in NC machine tools. First, based on laser interferometer and temperature sensor, the feed axis thermal error test is carried out; following, the thermal error prediction model, based on the feed axis thermal error mechanism, is established and the thermal characteristic parameters in the model are identified, based on the thermal error test data; next, the parameter identification test is carried out, under the preload state of the nut; next, the adaptive prediction model is established, based on the thermal error prediction model, while the parameters in the measurement model are identified; finally, adaptive compensation of thermal errors is performed, based on the adaptive error prediction model, according to the generated feed axis heat.