The performance and service life of the nuclear emergency diesel engine shaft made of 12CrNi2 alloy steel is very important for the safety of nuclear power. Laser melting deposition (LMD) is a challenging camshaft-forming technology due to its high precision, rapid prototyping, and excellent parts performance. However, LMD is an unsteady process under the local action of laser, especially for curved surface forming, which is more likely to generate large residual stress on components, resulting in cracks and other defects. At present, the stress research on LMD curved surface forming is relatively insufficient. In the present paper, material parameter testing, high-temperature mechanical properties analysis, single-track sample preparation, and heat source checks are conducted. At the same time, the ABAQUS software and the DFLUX heat source subroutine are used to compile the curved double-ellipsoidal moving heat source, and the effects of the temperature-dependent thermophysical parameters and phase change latent heat on the temperature field are considered. A three-dimensional finite element model is established to analyze the thermal stress evolution and residual stress distribution of multi-track multi-layer on a curved surface by LMD, and the effect of the scanning method and interlayer cooling time on the residual stress of the formed components is studied. The results show that with the increase in temperature, the strength of the material reduces, and the fracture morphology of the material gradually transitions from ductile fracture to creep fracture. The material parameters provide a guarantee for the simulation, and the errors of the width and depth of the melt pool are 4% and 9.6%, respectively. The simulation and experiment fit well. After cooling, the maximum equivalent stress is 686 MPa, which appears at the junction of the substrate and the deposited layer. The larger residual stress is mainly concentrated in the lower part of the deposited layer, where the maximum circumferential stress and axial stress are the tensile stress. Compared with the axial parallel lap scanning method, the arc copying lap scanning method has a relatively smaller maximum thermal stress and residual stress after cooling. The residual stress in the deposited layer is increased to some extent with the increase in the interlayer cooling time.