In a thermocouple, a pair of thermoelements extend within a protective sheath. The thermoelements are spaced from the sheath by an insulator. The sheath comprises an outer sheath formed from a metal alloy adapted to provide mechanical support and corrosion resistance during use of the thermocouple, typically at elevated temperature. The sheath further comprises an inner sheath positioned between the outer sheath and the thermoelements and formed from a nickel-based alloy containing less than 10 wt % Cr, to prevent diffusion of Cr and/or Mn from the outer sheath to the thermoelements.