An intentional investigation on the thermal stability of a mode-locked femtosecond laser chromatic confocal probe, which is a critical issue for the probe to be applied for long-term displacement measurement or surface profile measurement requiring long-time scanning, is carried out. At first, the thermal instability of the first prototype measurement setup is evaluated in experiments where the existence of a considerably large thermal instability is confirmed. Then the possible reasons for the thermal instability of the measurement setup are analyzed quantitatively, such as the thermal instability of the refractive index of the confocal lens and the thermal expansion of mechanical jigs employed in the probe. It is verified that most of the thermal instability of the measurement setup is caused by the thermal expansion of mechanical jigs in the probe. For the improvement of the thermal stability of the probe, it is necessary to employ a low thermal expansion material for the mechanical jigs in the measurement setup and to shorten the optical path length of the laser beam. Based on the analysis result, a second prototype probe is newly designed and constructed. The improved thermal stability of the second prototype probe is verified through theoretical calculations and experiments.