Temperature rise of the tubular permanent magnet linear generator (TPMLG) might lead to insulation failure and demagnetization of permanent magnets, affecting the safe and stable operation of other equipment and the entire system. Herein, a bidirectional electromagnetic–thermal coupling method for analyzing the electromagnetic loss and thermal characteristics of a TPMLG considering the effect of increased temperature on the permanent magnet was proposed. To study the electromagnetic–thermal characteristics of the TPMLG under stable power generation, a two-dimensional electromagnetic field model and a three-dimensional temperature field model were established and coupled. The temperature field of the TPMLG was numerically calculated using computational fluid dynamics over finite volume method under natural air cooling and forced air cooling conditions. Effects of loss and air flow velocity on the steady temperature field were investigated. Results indicated that copper loss increased by 24.5% considering the influence of temperature rise. The windings’ top central position in the TPMLG was the spot with the highest temperature of 127.8 °C and there was a potential demagnetization risk for the permanent magnets. Some reference for future research of clarifying thermal characteristics and cooling design was provided.