A setting device for a control shaft of a thermostat includes a first coupling piece, a second coupling piece, and a knob member. The first coupling piece is sleeved on the control shaft to permit the control shaft to rotate therewith. The second coupling piece is loosely sleeved on the control shaft and has two studs engaged respectively in two slots of the first coupling piece to permit the first coupling piece to rotate therewith. The knob member has two tongues fitted in two gaps in the second coupling piece to permit the second coupling piece to be rotated with the knob member, whereby a force applied to rotate the knob member can be accurately transmitted to the control shaft for adjusting a setting temperature of the thermostat.