CNC machining center linear axis thermal positioning errors, seen as the synthetic consequences of geometric and thermal errors, respectively generated due to the manufacturing and assembling inaccuracies and the asymmetric thermal deformation of the machining center structure, are significantly affected by varying position of the cutting point and shifting state of temperature field. Hence, developing a practical approach to reduce or even eliminate thermal positioning errors is crucial. This paper proposes a novel approach to decouple and separate machining center linear axis thermal positioning errors, based on which a highly accurate prediction model of the thermal positioning error is formulated. Firstly, a new concept on thermal positioning error sensitivity is presented where grey correlation analysis is borrowed to characterize the mapping between varying temperature fields and thermal positioning errors, according to which the sensor sensitivities and distributions are derived and optimized, respectively. Then, the thermal positioning errors are decoupled and separated into geometric and thermal errors by adopting multiple linear regression and GM (1, n) algorithms, respectively. Finally, the corresponding embedded compensation module is also developed within the SIEMENS 840D CNC system to realize the online compensation strategy providing the engineering applications. Experimental validations are performed on a commercial machining center, where the thermal positioning errors of the Z-axis are measured with the help of a laser interferometer testing kit and a thermal inspection instrument. The data comparisons indicate that the maximum thermal positioning errors of the Z-axis in the cold and warm state are respectively decreased for 86.5% and 71.6% after activating the compensation module, which also suggests that the proposed approach is adequate and accurate to decouple and separate the thermal positioning errors.