Thermoelastic damping (TED) is the main source of energy dissipation in resonators. The modelling of TED is of great importance for the design of micro-electro-mechanical systems (MEMS) and the improvement of quality factor. Most of the previous TED models are based on classical continuum mechanics and Fourier heat conductive model. However, small-scale effects are widely found for structures at nano and sub-micron level and the classical theories cannot describe their size-dependent behaviors. Based on the nonlocal elasticity theory and the nonlocal heat conductive model, the thermoelastic coupled governing equations of a circular plate with out-of-plane vibration under the influence of nonlocal effect are derived in this paper. The influences of nonlocal thermoelasticity on TED in circular plates are discussed by numerical examples under different boundary conditions, frequencies, thicknesses and modes.