A micromechanical structure of a MEMS device, integrated in a die of semiconductor material provided with a substrate and having at least a first axis of symmetry lying in a horizontal plane, has a stator structure, which is fixed with respect to the substrate, and a rotor structure, having a suspended mass, mobile with respect to the substrate and to the stator structure as a result of an external action, the stator structure having fixed sensing electrodes capacitively coupled to the rotor structure; a compensation structure is integrated in the die for compensation of thermo-mechanical strains. The compensation structure has stator compensation electrodes, which are fixed with respect to the substrate, are capacitively coupled to the rotor structure, and are arranged symmetrically to the fixed sensing electrodes with respect to the first axis of symmetry.