Passengers in high-speed railway stations experience multiple spatial transitions; however, existing research has typically examined thermal comfort in isolation, neglecting the entire sequence of thermal experiences. This study investigates passenger thermal comfort throughout the departure process, specifically analyzing two entry modes: Mode 1 (entry via the outdoor square) and Mode 2 (entry via the underground passage). Utilizing behavioral data from 17,354 passengers surveyed in a typical high-speed railway station, we replicated these conditions in climate chamber experiments. Participants were exposed to 30 combinations of outdoor environments and four indoor temperatures (24 °C, 26 °C, 28 °C, and 30 °C). Thirty subjects, dressed in 0.49 clo insulation garments, assessed thermal satisfaction (TSAT) in each space and overall thermal satisfaction (OTSAT) for the departure process through questionnaires. Results indicated that high outdoor temperatures led to lower satisfaction in Mode 1 compared to Mode 2. Strong correlations were observed between TSAT in the waiting room and check-in area with OTSAT, underscoring their significant impact on OTSAT. Optimal thermal sequences were identified as O-26-26-26-24 for Mode 1 and U-28-26-24-24 for Mode 2, achieving OTSAT values of 1.11 and 1.12, respectively. The study also proposed two effective thermal sequences: a downward trend and a fluctuation trend, highlighting the benefits of initial discomfort followed by improvement. The recency effect emphasized the importance of effective thermal management in the waiting room and check-in area to enhance OTSAT. These findings provide valuable insights for optimizing thermal environment control in high-speed railway stations, balancing passenger comfort with energy efficiency.