The machining error caused by the thermal deformation of machines or tools accounts for half or even more in the total error, and the machining precision could be improved by stabilizing the heat balance of the process system. However, few of the existing studies have concerned about the thermal deformation law caused by the high-speed self-feed spindle system that could meet the performance requirements of high-speed cutting in precision machining, therefore, it’s of great necessity to study the thermal properties of precision machinery. For this reason, this paper took the precision machinery with a high-speed self-feed spindle system as the subject to study its thermal properties and thermal error compensation. At first, this paper introduced the composition of the precision machining control system and analyzed the thermal properties of the subject. Then, the heat source and heat exchange forms of the precision machinery were analyzed, the thermal intensity of the internal and external heat sources during the machining process was calculated, and the corresponding thermal boundary conditions were given. After that, this paper divided the heat sources of the subject during high-speed cutting into two types: internal heat source and external environment heat source, and carried out analysis. Moreover, this paper gave the structure of a thermal error and temperature synchronous measurement system for precision machinery, integrated the features of the thermal error data of two groups of high-speed cutting process, and built a thermal error compensation model based on the Bayesian network. At last, experimental results verified the effectiveness of the model.