We present a theoretical investigation of the thermal hysteresis of iron dots exchange-coupled to an antiferromagnetic substrate. We consider a temperature interval bounded by the Néel temperature of the substrate, and we calculate the heating and cooling curves in the presence of an external field oriented opposite to the interface exchange field. The thermal hysteresis is due to the temperature variation of the interface field and the influence of the geometrical shapes and sizes of the dots on the magnetic states and switching mechanisms. We show that Fe dots on an uncompensated NiO substrate exhibit large thermal hysteresis at room temperature, and external fields of a few kOe. The width of the hysteresis loops depends on the dimensions of the ferromagnetic dot, and can be significant for dots elongated in the direction of the interface field.