Thermally-induced cracking typically occurs during the cooling stage of various manufacturing processes, and is commonly seen in multiphase or the joints of dissimilar materials due to mismatch in their thermo-mechanical properties, such as thermal expansion, elastic-plastic deformation and, in some cases, phase transformation. However, the underlying cracking mechanism associated with local microstructure is still elusive. To improve the mechanistic understanding of thermal cracking, this work uses the diffusion-bonded 9Cr-1Mo steel as an example to study the key microstructural variables, such as interfacial phases, voids, grain boundary migration and crystallographic orientations. Meanwhile, a temperature-dependent crystal plasticity model coupled with a cohesive zone model is developed to provide more insights into the thermal-induced stress distribution at the grain scale. It is found that the stress at the void-free boundary of martensite and ferrite is dominated by shear, and its magnitude is insufficient to nucleate cracks. Whereas voids at phase boundaries can induce significant tensile stress, resulting in cracking at the phase boundaries as well as diffusion-bonded interfaces. Also, the occurrence of interfacial grain boundary migration plays an important role in local stress distribution. These microstructure features and their evolution are experimentally observed and used to verify the developed crystal plasticity models. These findings enhance the understanding of the influence of microstructure features on thermal cracking and provide a guide to designing and fabricating the microstructure with improved thermal crack resistance in various manufacturing processes.