To meet the application requirements of a thermal gas sensor, it is necessary to realize a bond connection between PtW8 wire with a Au thick film. However, the physical properties, such as the melting point and hardness, of the two materials differ greatly. In this study, the parallel-gap resistance microwelding was introduced into the bonding connection between PtW8 wire and a Au thick film in the thermal gas sensor. The feasibility of the method was analyzed theoretically and the experimental system was established and studied. A scanning electron microscope (SEM) was used to analyze the morphology of the cross-section of the welded joint. The results showed that there was no obvious transition layer at the interface region but there were relatively dense welds. At the same time, it was found that the melted Au wetted and climbed on the surface of the platinum-tungsten alloy, which may have been the key to forming the joint. Elements were observed to have a spatial distribution gradient within the cross-section of the welding line, revealing that mutual diffusion occurred in the parallel-gap resistance microwelding, where this diffusion behavior may be the basic condition for forming the joint. Finally, the influence of the welding voltage, time, and force on the joint strength was also studied, where the joint strength could be up to 5 cN.