In this paper, a generalized interpolation material point method (GIMP) for simulating coupled thermo-mechanical processes is developed based on the weak formulations of both conservation of momentum and conservation of energy. The coupling term between the thermal and mechanical field variables is investigated in detail. The convergence behavior of the GIMP is examined with respect to the number of background cells and the number of particles per cell, respectively. A multi-grid approach is proposed to improve the accuracy of the GIMP in dealing with the Dirichlet boundary conditions in thermal analyses. Several representative examples are presented to demonstrate and verify the proposed procedure as compared with analytical or other numerical solutions, including an example on coupled thermo-mechanical failure evolution. It is shown from the obtained results that the proposed procedure might provide a robust spatial-discretization tool for multi-physics simulations.