In this paper, the influence of finite temperature on the axial buckling of double walled carbon nanotubes (DWCNTs) is investigated based on the non-local Timoshenko beam model. The double walled carbon nanotube with different nonlocal effects is considered as an elastic structure model of mechanics, which is composed of the Van der Waals' force between the two-layers/two walls of carbon nanotubes. Molecular structure mechanics model incorporating thermal temperature is developed to study the relation between Young's modulus and temperature. The temperature dependent Young's modulus is applied to study the mechanical property of double walled carbon nanotubes. It is found that the axial buckling properties of DWCNTs decrease with the increase of the finite temperature at high temperature, however, the axial buckling properties of DWCNTs increase with the increase of the finite temperature at low or room temperature. Moreover, it is noted that the continuous temperature has litter effect on the axial buckling property of DWCNTs at the low temperature. However, the influence of continuous temperature on the mechanical properties of DWCNTs can not be neglected at the high temperature.