Abstract The neglection of thermal-structure interaction of high-speed spindle system may lead to the modeling error of the thermal characteristics. To improve the modeling accuracy, the thermal-structure interaction mechanism was analyzed and the closed-loop iterative modeling method of thermal characteristics was proposed to modify the heat sources and thermal boundary conditions of the spindle system in each substep. The heat generation of bearings and built-in motor, the convective coefficients and the thermal contact resistances (TCRs) of bearing joints were computed. The heat generation of bearings was calculated by the SKF bearing thermal model and the results were compared with that obtained by integral method. The heat generation of bearings was modified by considering the combined effect of the lubricant viscosity variation and thermally-induced preload of bearings. Moreover, a novel geometrical-mechanical-thermal model for TCRs was proposed by characterizing the rough surface morphology and by establishing the multi-scale contact mechanics of joint surfaces. To validate the effectiveness of the proposed method, the thermal characteristic experiments of the spindle system were conducted under different rotational speeds. The results showed that the modeling errors in the temperature field and thermal deformation are reduced significantly and that this model has the ability of thermal error compensation.