Thermophoresis, the translational motion of particles in response to temperature gradients, has been well-studied, but the rotational response remains less understood. This work investigates the thermo-orientation and rotational diffusion of non-spherical particles, with special focus on shape asymmetry, through non-equilibrium molecular dynamics simulations. Our results indicate that the degree of thermo-orientation of asymmetric particles (cone-shaped) is positively correlated with both the aspect ratio (R/H) and the temperature gradient; however, the Soret coefficient exhibits a negative correlation with thermo-orientation. To explore the underlying mechanisms further, we analyzed the variation in the torque experienced by the particles. We propose that the thermo-orientation of particles originates from the combined effects of thermophoretic torque and random torque, which in turn lead to anomalous rotational diffusion behavior. Consequently, we investigated the rotational diffusion characteristics of the particles, observing that the probability density functions of angular displacement transition from Gaussian to thin-tailed distributions, with the degree of non-Gaussianity increasing as the R/H values rise. These results could provide a new perspective based on rotational diffusion dynamics for studying the thermo-orientation of asymmetric particles.