Understanding the brain response to thermal stimuli is crucial in the sensory experience. This study focuses on non-painful thermal stimuli, which are sensations induced by temperature changes without causing discomfort. These stimuli are transmitted to the central nervous system through specific nerve fibers and are processed in various regions of the brain, including the insular cortex, the prefrontal cortex, and anterior cingulate cortex. Despite the prevalence of studies on painful stimuli, non-painful thermal stimuli have been less explored. This research aims to bridge this gap by investigating brain functional connectivity during the perception of non-painful warm and cold stimuli using electroencephalography (EEG) and the partial directed coherence technique (PDC). Our results demonstrate a clear contrast in the direction of information flow between warm and cold stimuli, particularly in the theta and alpha frequency bands, mainly in frontal and temporal regions. The use of PDC highlights the complexity of brain connectivity during these stimuli and reinforces the existence of different pathways in the brain to process different types of non-painful warm and cold stimuli.