In thermal-related engineering such as thermal energy structures and nuclear waste disposal, it is essential to well understand volume change and excess pore water pressure buildup of soils under thermal cycles. However, most existing thermo-mechanical models can merely simulate one heating–cooling cycle and fail in capturing accumulation phenomenon due to multiple thermal cycles. In this study, a two-surface elasto-plastic model considering thermal cyclic behavior is proposed. This model is based on the bounding surface plasticity and progressive plasticity by introducing two yield surfaces and two loading yield limits. A dependency law is proposed by linking two loading yield limits with a thermal accumulation parameter n_c, allowing the thermal cyclic behavior to be taken into account. Parameter n_c controls the evolution rate of the inner loading yield limit approaching the loading yield limit following a thermal loading path. By extending the thermo-hydro-mechanical equations into the elastic–plastic state, the excess pore water pressure buildup of soil due to thermal cycles is also accounted. Then, thermal cycle tests on four fine-grained soils (natural Boom clay, Geneva clay, Bonny silt, and reconstituted Pontida clay) under different OCRs and stresses are simulated and compared. The results show that the proposed model can well describe both strain accumulation phenomenon and excess pore water pressure buildup of fine-grained soils under the effect of thermal cycles.