The ball screw system is one of the most core components of CNC machine tool, and its thermal positioning error directly affects the machining accuracy of parts. Establishing a data-based thermal error model is currently a popular method to predict this thermal error. Uncertain disturbances are unavoidable in reality. However, most of the existing thermal error models are deterministic, which cannot consider the uncertainty and generally can only provide the predictive value. To quantify the uncertainty of thermal error from the ball screw system, this paper proposes an interval prediction method, in which gated recurrent unit (GRU) neural network is embedded into the model and prediction interval (PI) evaluation indexes are used to determine the model parameters. Both the temporal and spatial characteristics of thermal error in the ball screw system are taken into account by the proposed method. The experimental data has verified that the proposed method can effectively generate PIs for the thermal error of ball screw system.