High-performance carbon nanotube (CNT) fibers inevitably encounter complicated thermal environments while used in aerospace structures and intelligent actuators. Catastrophic damage is unavoidably induced due to the loss of their mechanical properties. Herein, a modified Hopkinson bar and an in-situ SEM tensile equipment were introduced to study the high-temperature time-dependent mechanical behaviors and microstructure evolution of individual CNT fibers. It was found that the interaction between CNTs was weakened by thermal expansion and defects were introduced into CNTs by thermal oxidation. In addition, the effects of temperature on the viscoplastic strain transition and durability of CNT fibers were studied through a series of relaxation experiments. A shear-lag unit cell and a three-level mathematical model were developed for describing the hierarchical structure evolution of CNT fibers. These models clarified the mechanism of strength loss of CNT fibers at high temperatures and characterized the effect of thermal expansion on their microstructure and mechanical properties. The overlap length and the distance between tubes as a function of temperature were discussed. According to the modeling, an effective strategy was proposed to improve the mechanical properties of CNT fibers at high temperatures by restraining thermal expansion and thermal oxidation. This work would provide crucial theoretical and experimental guidance for the improvement of the thermal dynamic stability of CNT fibers and their composites in extremely high-temperature operating conditions.