A capacitor providing a thermal alert includes a wound film capacitor for carrying a large current when coupled to an AC generator. The wound film capacitor includes a hollow core extending from one end to another end of the capacitor. Also included are an in-line thermal switch, which is disposed in the hollow core for sensing a predetermined temperature; and a light indicator, which is coupled to the thermal switch. A single housing is integrally formed from an upper cover and a lower cover for housing the capacitor, the thermal switch and the light indicator. The upper cover of the housing is formed from translucent material. The thermal switch is configured to disconnect the wound film capacitor from the AC generator upon reaching the predetermined temperature, and activate the light indicator to emit a light. The upper cover is effective in transmitting the light from inside the housing to outside of the housing. The light indicator includes an incandescent light bulb, a neon bulb, or a light emitting diode (LED).