Thermal stability of quantum dot(QD) luminescence is considered as an important factor for their applications in luminescent devices because of the Joule heat caused by inevitable current. The temperature-dependent photoluminescence(PL) properties of Mn-doped ZnSe(Mn: ZnSe) QDs with different shell thickness in the temperature range from 80 to 500 K were studied by steady-state and time-resolved PL spectra. It was found that the Mn: ZnSe QDs with thick shell(6.5 monolayers(MLs)) exhibited better PL thermal stability than the thin shell coated ones(2.6 MLs). Because almost no PL quenching occurred for thick shell-coated Mn-doped QDs from 80 to 400 K, their PL quantum yield(QY) could keep 60% even at 400 K. Moreover, based on the change in temperature-dependent PL intensities and lifetimes of Mn: ZnSe QDs, the thermal quenching mechanism was proposed. Finally, the stability of Mn: ZnSe QDs with different shell thickness are discussed on the basis of heating-cooling cycling examination(300-500-300 K). For Mn: ZnSe QDs with thick shell, the PL was nearly totally recovered after the cycling examination. Thus, Mn: ZnSe QDs are promising for applications in luminescent devices, where strong thermal effect is inevitable.