This paper presents a thermal analysis device, which can measure thermal conductivity of picoliter scale liquid sample. We employ the three omega method with a microfabricated AC thermal sensor with nanometer width heater. The liquid sample is confined by a micro-well structure fabricated on the sensor surface. The performance of the instrument was verified by measuring the thermal conductivity of 27-picoliter samples of de-ionized (DI) water, ethanol, methanol, and DI water-ethanol mixtures with accuracies better than 3%. Furthermore, another analytical scheme allows real-time thermal conductivity measurement with 5% accuracy. To the best of our knowledge, this technique requires the smallest volume of sample to measure thermal property ever.