Thermally induced volumetric strain of clay is crucial for geotechnical applications involving thermal loading. The volumetric response of clay shows a ratcheting pattern during thermal cycles until reaching a thermal stabilized state. It is also affected by the stress history of soil, including over‐consolidation ratio (OCR) and recent stress history (RSH). This paper introduces a new bounding surface model to capture effects of OCR and RSH on thermo‐mechanical behaviour of soil. A thermal state parameter is proposed to characterize the effects of stress history and thermal history. Based on the new thermal state parameter, the commonly recognised thermal softening mechanism is modified and incorporated with a bounding surface. The newly proposed model, with only 10 parameters, can provide an elegant approach to predict the volumetric response under thermal cycles coupled with different stress histories well.