Based on the thermo elasticity, using finite element method to analyze the stress of femur-prosthesis system when the hip joint has been replaced, a reference for the selection of prosthesis material is presented after discussing the thermo physical property of material which has an effect on the stress of femur-prosthesis system. We assume that prosthesis, bone cement and femur are linear elastic and isotropic materials which construct a concentric cylinder in this paper. Considering the thermal effect, the axial stress of prosthesis, bone cement, femur and the interface shear stress along axial of the prosthesis/bone cement and bone cement/femur when the prosthesis are made of titanium alloy and cobalt-chromium alloy are acquired separately by mechanical analysis and FEM simulation .The results indicate that the interface failure is the primary failure mode of the femur-prosthesis system. The interface failure, prosthesis stem loosening and the stress shielding are accelerated because of the thermal effect. Therefore, the prosthesis with low expansion coefficient should be selected which can moderate the interface failure in a certain degree.