The main objective of this work is the experimental investigation of the influence of tool-holder material on tool–chip interface temperature and on the surface temperatures of the cutting tool and tool-holder. The study was conducted in dry machining of grey iron with uncoated cemented carbide inserts, using identical cutting parameters. Five tool-holders were made with materials having different thermal conductivity: copper, brass, aluminium, stainless steel and titanium alloy. The tool-holders are identical and have the same constructive aspects obtained from the commercial tool-holder for machining grey iron. The temperature at the tool–chip interface was measured using the tool–work thermocouple method and the surface temperatures on the insert and tool-holders, by conventional T type thermocouples. The system was modified in order to develop an experimental procedure for the physical compensation of the secondary junctions and parasite thermoelectric e.m.f. signals. Also, modifications were carried out in a conventional tail-stock to obtain the e.m.f. signal between the rotating workpiece and the stationary insert, without significantly altering the stiffness of the system. The tail-stock with mercury bearing inside was insulated electrically. The internal connections became reference junctions at room temperature; otherwise, they would act as secondary junctions. The calibration of the tool–work thermocouple was developed in the experimental apparatus using the same modifications as implemented in the system. Besides the results obtained with the investigation of the effects of the tool-holder materials on the surface temperatures of the insert and the tool-holder and the tool–chip interface temperature, this research presents also contributions to the calibration and performance of the tool–work thermocouple method with physical compensation.