To study thermo-hydro-mechanical behaviour of unsaturated soil, some apparatuses are developed and reported in the literature. Most of the existing apparatuses, however, cannot apply cooling and control temperature lower than room temperature. Moreover, an accurate measurement of thermal volume changes is still challenging, particularly for unsaturated soil. In this study, a triaxial apparatus with double cell total volume change measuring system is modified to fulfil temperature control in a wide temperature range (both higher and lower than room temperature). Temperature is regulated by circulating water with a controlled temperature in a spiral copper tube installed between the inner and outer cells. Detailed calibrations are carried out to determine the response of heating/cooling system and double cell to heating and cooling, such as the thermal equilibrium time and the volume change of inner cell. By using the new apparatus, a series of test is carried out to investigate the volume changes of normally consolidated intact and recompacted loess at different suctions over a wide thermal cycle ranging from 5 °C to 53 °C. It is found that contractive volumetric strain increases as temperature increases. During the cooling process, soil volume keeps contracting until the temperature decreases to 5 °C. An irreversible contraction at a much higher rate is observed from 13 °C to 5 °C. The observed plastic strain during cooling cannot be captured by existing thermo-mechanical models.