A device for compensating thermal displacement of feed axis system of a machine tool, which comprises a bed, a main spindle mounted on the bed, a feed axis system movably installed on the bed, and a power train unit configured to transmit power transferring the feed axis system, the device comprising: a timer operated for a predetermined time when the feed axis system is transferred; a rapid traverse time measuring unit configured to measure a rapid traverse time of the feed axis system while the timer is operated; a rapid traverse time density calculating unit configured to calculate a rapid traverse time density per unit time by using the rapid traverse time measured by the rapid traverse time measuring unit; an average rapid traverse time density calculating unit configured to calculate an average rapid traverse time density based on the rapid traverse time density; a reference data storing unit configured to store a thermal displacement increase rate, a thermal displacement decrease rate, and a maximum value; and a control unit, wherein the control unit includes: a compensation value calculating unit configured to calculate a current compensation value; a maximum value calculating unit configured to calculate a maximum value based on the average rapid traverse time density calculated by the average rapid traverse time density calculating unit and the maximum value data stored in the reference data storing unit; a thermal displacement increase rate calculating unit configured to calculate a thermal displacement increase rate based on the average rapid traverse time density calculated by the average rapid traverse time density calculating unit and the thermal displacement increase rate data stored in the reference data storing unit; a thermal displacement decrease rate calculating unit configured to calculate a thermal displacement decrease rate based on the average rapid traverse time density calculated by the average rapid traverse time density calculating unit and the thermal displacement decrease rate data stored in the reference data storing unit; and a comparing unit configured to compare the current compensation value calculated by the compensation value calculating unit with the maximum value calculated by the maximum value calculating unit, and when the current compensation value is larger than the maximum value, the feed axis system is compensated based on the thermal displacement decrease rate, and when the current compensation value is smaller than the maximum value, the feed axis system is compensated based on the thermal displacement increase rate. a compensation value calculating unit configured to calculate a current compensation value; a maximum value calculating unit configured to calculate a maximum value based on the average rapid traverse time density calculated by the average rapid traverse time density calculating unit and the maximum value data stored in the reference data storing unit; a thermal displacement increase rate calculating unit configured to calculate a thermal displacement increase rate based on the average rapid traverse time density calculated by the average rapid traverse time density calculating unit and the thermal displacement increase rate data stored in the reference data storing unit; a thermal displacement decrease rate calculating unit configured to calculate a thermal displacement decrease rate based on the average rapid traverse time density calculated by the average rapid traverse time density calculating unit and the thermal displacement decrease rate data stored in the reference data storing unit; and a comparing unit configured to compare the current compensation value calculated by the compensation value calculating unit with the maximum value calculated by the maximum value calculating unit, and when the current compensation value is larger than the maximum value, the feed axis system is compensated based on the thermal displacement decrease rate, and when the current compensation value is smaller than the maximum value, the feed axis system is compensated based on the thermal displacement increase rate.