The experiments and modeling of thermal error compensation for the spindle system of a Computer Numerical Control (CNC) lathe were researched. A thermal error compensation model for the Spindle system of CNC lathe at axial and radial directions was established to enhance its error compensation ability and to improve the machining precision. A test platform for the thermal error of the spindle system was built. The five point method was used to test the thermal error of the spindle system, and a thermocouple and a infrared thermal imager were taken to measure the temperature changes of the spindle system. Then the gray comprehensive correlation analysis method was used to identify the temperature-sensitive measurement points and to construct thermal error prediction model based on re-sampling step particle swam optimization to evaluate the model effect. The prediction results on the thermal error compensation model based on re-sampling step particle swam optimization show that the axial residual thermal error is -1.29 μm—1.55 μm, and the modeling accuracy is 9504%. The thermal residual error along y direction is -4.68×10-6°—9.66×10-6°, and the modeling accuracy is 91.26%. The thermal residual error along z direction is -5.83×10-6°—8.59×10-6°, and the modeling accuracy is 93.24%. The research shows that the thermal error compensation model has high precision and a strong engineering application value.