The thermal effect impacts not only the performance of angular contact ball bearings but also the motion accuracy of the CNC mill spindle system. Thus, to study its nonlinear dynamic behaviors, an analytical CNC mill spindle-bearing model is proposed to investigate the bearing power loss caused by the temperature generated in the ball bearings, taking into account the centrifugal force and gyroscopic moment of the ball. A dynamic model is used in order to obtain the static deformations of rolling bodies. The bearing is modeled with five degrees of freedom (DOF). The dynamic system’s equations of motion are derived using the finite element method. The Newmark method, coupled with the Newton–Raphson method, is used to solve the system numerically. A comparative study of bearing power loss with and without thermal effects is performed. The results show that the bearing power loss is higher when thermal effects are considered than when they are neglected.