The thermal effect on axially compressed buckling of a double-walled carbon nanotube is studied in this paper. The effects of temperature change, surrounding elastic medium and van der Waals forces between the inner and outer nanotubes are taken into account. Using continuum mechanics, an elastic double-shell model with thermal effect is presented for axially compressed buckling of a double-walled carbon nanotube embedded in an elastic matrix under thermal environment. Based on the model, an explicit formula for the critical axial stress is derived in terms of the buckling modes of the shell and the parameters that indicate the effects of temperature change, surrounding elastic medium and the van der Waals forces. Based on that, some simplified analysis is carried out to estimate the critical axial stress for axially compressed buckling of the double-walled carbon nanotube. Numerical results for the general case are obtained for the thermal effect on axially compressed buckling of a double-walled carbon nanotube. It is shown that the axial buckling load of double-walled carbon nanotube under thermal loads is dependent on the wave number of axially buckling modes. And a conclusion is drawn that at low and room temperature the critical axial stress for infinitesimal buckling of a double-walled carbon nanotube increase as the value of temperature change increases, while at high temperature the critical axial stress for infinitesimal buckling of a double-walled carbon nanotube decrease as the value of temperature change increases.