Thielmann was born at Dresden. Entering the Saxon cavalry in 1782, he saw service against the French in the Rhine campaigns and served on the side of Prussia in the Jena campaign. After the disaster of Jena, Thielmann was sent by Saxony as ambassador to Napoleon I, became his ardent admirer, and did much to bring about the Franco-Saxon alliance. Thielmann accompanied the Saxon contingent which fought at the siege of Danzig and at Friedland.