The thermal buckling properties of double-walled carbon nanotubes (DWCNTs) are studied using nonlocal Timoshenko beam model, including the effects of transverse shear deformation and rotary inertia. The DWCNTs are considered as two nanotube shells coupled through the van der Waals interaction between them. The geometric nonlinearity is taken into account, which arises from the mid-plane stretching. Considering the small-scale effects, the governing equilibrium equations are derived and the critical buckling temperatures under uniform temperature rise are obtained. The results show that the critical buckling temperature can be overestimated by the local beam model if the nonlocal effect is overlooked for long nanotubes. In addition, the effect of shear deformation and rotary inertia on the buckling temperature is more obvious for the higher-order modes. The investigation of the thermal buckling properties of DWCNTs may be used as a useful reference for the application and the design of nanostructures in which DWCNTs act as basic elements.