One of the most important causes of the failure of power electronic modules is thermal stress. Proper thermal management plays an important role in more reliable and cost-effective energy conversion. In this paper, we present an advanced active thermal control (ATC) strategy to reduce a power device's thermal stress amplitude during operation, with the aim of improving the reliability and lifetime of the conversion system. A state-space model based on a Foster-type thermal model is developed to achieve junction temperature estimation in real time. A feedback controller based on finite-time boundedness (FTB) is proposed to precisely regulate the temperature in order to reduce the thermal stress according to the temperature profile. The designed controller permits the precise control of the temperature and strongly reduces the thermal stress during fast transients in the power demand. Simulation and experimental results are provided to validate the effectiveness of the proposed method.