A thermal displacement compensation apparatus for compensating a dimensional measurement error due to a thermal displacement of a workpiece, including a machine learning device for learning shape measurement data at the time of inspection of the workpiece, wherein the machine learning device observes image data showing the temperature distribution of the workpiece and shape data after machining as state variables representing the current state of the environment, acquires judgment data indicating the shape measurement data at the time of inspection, and learns the image data showing the temperature distribution of the workpiece and shape data after machining and the shape measurement data at the time of inspection in association with each other using the observed state variables and the acquired judgment data.