The proton beam window (PBW) is one of the key devices of China Spallation Neutron Source (CSNS). It is the boundary between transport line and target. This paper will present a new PBW structure and detailed thermal-stress analysis. The energy deposition and scattering effect need to be low when the beam passes through the PBW, so proper selection of material and structure is important. According to the study of energy deposition, A5083-O is selected as the PBW material. A single-double layer structure is first proposed based on the study of cooling structures. Thermal analysis and structural optimization are discussed, and transient analysis is done to show the effect of the beam pulse. Besides, safety is confirmed for cases of cooling tunnel blockage, beam profile shrinkage, or centroid orbit offset. All these analyses show the newly designed PBW structure can meet the requirements of the CSNS well.