Methods and systems for thermal compensation of pressure measurements by a pressure gauge. Errors in pressure values are reduced by utilizing a predetermined correlation between the error in pressure measurements, due to temperature gradient in a pressure gauge, and the temperature gradient caused by temperature at a surface of the pressure gauge and temperature at an inner portion of the pressure gauge. Thermally corrected pressure values are derived based on the correlation between the pressure errors and the temperature gradients in conditions such as due to fast and large pressure variations in oil wells.