The temperature of the water wall in the furnace chamber is extremely important for the daily operation of a boiler. Considering the high temperature and dusty environment in the furnace, a temperature measurement device mainly composed of four parts (armored temperature sensor, in-furnace heat-collecting block, out-furnace fixing base, and protective cannula) was designed in this study, which could be used to directly obtain the temperature of the in-furnace water-wall. Numerical simulations of temperature measurement devices with different heat-collecting block structures were carried out using the computer fluid dynamics method. After comparing the measurement accuracy and considering the practical application scenarios, the optimized heat-collecting block structure with a specific expansion gap (0.5 mm wide and 4 mm deep) was selected for practical application. Such a temperature measurement device was then applied to a 1000 MW ultra-supercritical coal-fired boiler in China, and the tested in-furnace water-wall temperature data were in good agreement with relevant research. Compared with the conventional temperature measurement device arranged outside the furnace, the in-furnace water-wall temperature-measurement device adopted in this study has a more sensitive response characteristic and can directly reflect the temperature of the water wall inside the furnace. In addition, it can also reflect the local slag formation state of the water wall and has a long service life.