With the advancement of semiconductor manufacturing technology, thin film structures were widely used in MEMS devices. These films played critical roles in providing support, reinforcement, and insulation in MEMS devices. However, due to their microscopic dimensions, the sensitivity of their parameters and performance to thermal stress increased significantly. In this study, a Pirani gauge sample with a multilayer thin film structure was designed and fabricated. Based on this sample, finite element modeling analysis and thermal stress experiments were conducted. The finite element modeling analysis employed a combination of steady-state and transient methods to simulate the deformation and stress distribution of the device at room temperature (25 °C), low temperature (−55 °C), and high temperature (125 °C). The thermal stress test involved placing the sample in a temperature cycling chamber for temperature cycling tests. After the tests, the resonant frequency and surface deformation of the device were measured to quantitatively evaluate the impact of thermal stress on the deformation and resonant frequency parameters of the device. After the experiments, it was found that the clamped-end beams made of Pt were a stress concentration area. Additionally, the repetitive thermal load caused the cantilever beam to move cyclically in the Z direction. This movement altered the deformation of the film and the resonant frequency. The suspended film exhibited concavity, and the overall trend of the resonant frequency was downward. Over time, this could even lead to the fracture of the clamped-end beams. The variation of mechanical parameters derived from finite element simulations and experiments provided an important reference value for device design improvement and played a crucial role in enhancing the reliability of thin film devices.