<p>As working speed increases, high-speed train axle-box bearings experience increasingly severe dynamic and thermal loads, making it necessary to clarify their nonlinear thermo-mechanical coupling characteristics. This paper develops a bidirectionally coupled rotor–bearing model for a double-row tapered roller bearing used in a high-speed train axle box. The model accounts for nonlinear contact, frictional heat generation, lubricant shear heating, non-uniform thermal expansion, and effective radial clearance variation, thereby describing the interaction between vibration response and temperature evolution within a unified framework. A modified incremental harmonic balance method, together with arc-length continuation and Floquet theory, is used to obtain periodic solutions, identify multiple solution branches, and assess their stability efficiently. The results show that thermal effects shift the resonance peak to a lower frequency, increase the response amplitude, and expand the multistable region, indicating clear stiffness softening and enhanced nonlinear behavior. The thermo-mechanical coupling is mainly governed by a closed-loop feedback pathway involving dynamic response, thermal expansion, effective radial clearance variation, bearing restoring force, frictional heat generation, and contact thermal resistance. In the resonance region, intensified heat generation and insufficient heat dissipation lead to thermal accumulation and multistable temperature responses. In addition, bearing contact thermal resistance and lubricant thermal resistance exhibit different sensitivities to nonlinear dynamic responses. The initial radial clearance, eccentricity, damping, heat dissipation condition, and ambient temperature modulate different stages of the coupling pathway and significantly affect the system behavior. This study provides a theoretical basis for the nonlinear dynamic analysis and design optimization of high-speed train axle-box bearings.</p>