Abstract: Insulated tubing can reduce radial heat loss during the steam huff and puff process of heavy oil thermal recovery wells, but the temperature of the wellhead cement sheath system remains at 150–200 °C, and the resulting thermal cycling impairs the integrity of the cement sheath interface. For typical service conditions of heavy oil thermal recovery wells, a radial stress monitoring device of the cement sheath interface was employed to monitor the radial stress of the cement sheath interface under thermal cycling in real time, and the critical temperature difference–stress parameters of cement sheath interface failure under thermal cycling were obtained. Based on the elastic-plastic theory, an elastic-plastic mechanical model of the cement sheath system under temperature–pressure coupling was established, and the failure mechanism of the cement sheath interface was analyzed. The experimental results show that under thermal cycling conditions, the thermal expansion of the casing and the cement sheath is inconsistent, causing uncoordinated interface deformation. During the temperature difference unloading process, the radial compressive stress at the cement sheath interface is converted into radial tensile stress, leading to interface bonding failure and the generation of micro-annuli. Theoretical analysis indicates that the accumulated plastic deformation of the cement sheath under thermal cycling is the main cause of the generation of radial tensile stress at the interface and the bonding failure. Moreover, the effects of the mechanical and thermodynamic parameters of the cement sheath on the interface integrity were analyzed. The research results can provide a basis and reference for the optimal design of drilling and completion for heavy oil thermal recovery wells.