The dry cutting gear hobbing machine is a specialized manufacturing equipment for small-module gears. During the continuous large-volume gear cutting process, the thermal error plays a major negative role in the quality of gear making. In this paper, based on the convolutional neural network and the denoising auto-encoder algorithm, we developed a new mapping model between features of characteristic signals and the thermal-induced deviation of the spacing between the hob and the workpiece. In the modeling, the temperature change of key thermal points, the hob spindle current signal, and the corresponding thermal-induced deviation trend of spacing between the hob and the worktable in a continuous gear cutting experiment were collected and sampled. Those samples were fed into the TensorFlow framework to train the integrated mathematical structure. Finally, the mapping model was obtained, which was capable to accurately and quickly quantify the thermal error of the YDE-type dry gear hobbing machine. Accordingly, a thermal error compensation system was developed as well. To prove the accountabilities of this newly proposed mapping model as well as the corresponding thermal error compensation system, another continuous gear cutting verification experiment was carried out on the dry gear hobbing machine equipped with this new thermal error compensation system. The experiment results showed that with the help of the newly proposed thermal error model and compensation system, the M values of machined gears, which directly reflected the effect of the thermal error on the gear hobbing accuracy, remained in a practically acceptable range (+/- 0.02 mm) in the continuous gear cutting, which proved the reliability of our proposed new mapping model.