Self-sustained motion can take advantage of direct energy extraction from a steady external environment to maintain its own motion, and has potential applications in energy harvesting, robotic motion, and transportation. Recent experiments have found that a thermally responsive rod can perform self-sustained rolling on a flat hot plate with an angular velocity determined by the competition between the thermal driving moment and the friction moment. A rod with a hollow cross section tends to greatly reduce the frictional resistance, while promising improvements in thermal conversion efficiency. In this paper, through deriving the equilibrium equations for steady-state self-sustained rolling of the thick-walled cylindrical rod, estimating the temperature field on the rod cross-section, and solving the analytical solution of the thermally induced driving moment, the dynamic behavior of the thermally driven self-sustained rolling of the thick-walled cylindrical rod is theoretically investigated. In addition, we investigate in detail the effects of radius ratio, heat transfer coefficient, heat flux, contact angle, thermal expansion coefficient, and sliding friction coefficient on the angular velocity of the self-sustained rolling of the thick-walled cylindrical rod to obtain the optimal ratio of internal and external radius. The results are instructive for the application of thick-walled cylindrical rods in the fields of waste heat harvesters and soft robotics.