To investigate the mechanism of the texture formed by protein thermal denaturation, the profile and formation of texture and thermal denaturation of protein were evaluated using texture profile analysis (TPA) and transmission electron microscopy (TEM) combined with differential scanning calorimeter (DSC). Results indicated that the surface temperature of Beijing roast duck increased from 23.9 to 174.4 °C, while the center temperature rose from 20.6 to 99.3 °C during roasting. Shear force decreased significantly during the first 20 min, and the texture profile largely changed at 20 and 40 min. Firstly, Band I was broken and twisted, Band A was overstruck, and Z-line was diffused and finally disappeared, resulting in a blurred myofibril structure. The sarcomere considerably contracted within 30 min. Secondly, the main myofibrillar proteins were denatured at 20 and 40 min, respectively. The formation of hydrophobic interactions and the reduction of ionic bonds were observed. Thirdly, roasting induced protein thermal denaturation, which was correlated with interprotein forces, texture profile, and the shear force. Muscle fibers were damaged and shrunken, accompanied by the formation of hydrophobic interactions and the reduction of ionic bonds. The turning points were at 20 and 40 min, and the main proteins were denatured, leading to the formation of tenderness of Beijing roast duck.