A detailed finite element analysis has been carried out to simulate the fibre pull-out test. The fibre-matrix interface was assumed to obey a Coulomb friction law. Special attention was focused on the effect of residual thermal stresses. An approximate analytical solution, rather similar to those in the literature, was derived. The results of the finite element analysis have been used to investigate the limitation and the validity of this analytical solution. The accuracy of various approximate analyses has also been discussed.