A structure formed by temperature difference includes an enveloped part, an enveloping part, and a low heat transfer layer. The enveloped part has a free section and an engagement section. The enveloping part defines at least one holding space corresponding to the engagement section. The holding space is dimensioned to be slightly less than the engagement section and can be thermally expanded to be larger than the engagement section by heating the enveloping part to reach a predetermined temperature difference over the enveloped part, so that the engagement section can be put into the holding space. When the enveloping part is cooled, the holding space can shrink, causing the enveloping part to tightly hold the engagement section. The low heat transfer layer, which has a thermal conductivity less than each of the two parts, is disposed in the holding space, between the engagement section and the enveloping part.