The thermo-mechanical (T-M) coupling behavior of clay can be difficult to predict due to its complicated coupling mechanism, irreversibility and OCR dependency. To date, several constitutive models were proposed based on the phenomenological theory of elasticity and plasticity, which are able to simulate some of the T-M coupling behavior but lacks the fundamental description of coupling dissipation mechanism. The theory of Granular Solid Hydrodynamics (GSH) originally developed for single phase and isothermal granular solid has provided an alternative framework for the constitutive modeling of granular geo-materials. This paper first introduces the T-M coupled fundamental behavior of clay and its existing constitutive models. Then a constitutive model of a single phase and isothermal granular solid based on GSH is briefly outlined, followed by an extension of this GSH-based model made to account for a cohesive saturated granular solid, e.g. clay subjected to non-isothermal loading conditions. Based on the extension of GSH, a T-M coupled constitutive model is established, which allows for a better understanding of the physical mechanism underlying the observed T-M coupled behavior of clay. Verification of the model is conducted by predicting the thermally induced volumetric deformation and the undrained thermal failure of saturated Kaolin clay and Boom clay.