The adiabatic connection formula of ground-state density functional theory relates the correlation energy to a coupling-constant integral over a purely potential contribution, and is widely used to understand and improve approximations. The corresponding formula for thermal density functional theory is cast as an integral over temperatures instead, ranging upward from the system's physical temperature. We also show how to relate different different correlation components to each other, either in terms of temperature- or coupling-constant integrations. We illustrate our results on the uniform electron gas.