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The effects of thermally-induced refractive index change in Yb-doped Distributed Modal Filtering (DMF) photonic crystal fibers are investigated, where high-order mode suppression is obtained by resonant coupling with high index elements in the cladding. The temperature distribution on the fiber cross-section is calculated with an analytical model, for different pump power values. The consequent refractive index change, due to the thermo-optical effect, is applied to the cross-section of the DMF fiber, whose guiding properties are studied with a full-vector modal solver based on the finite element method. A DMF fiber design, which is single-mode in the 1030 nm-1064 nm region, is considered, and the effects of thermal load on the transmission characteristics are evaluated. Results show a blue-shift of the single-mode window and the single-mode bandwidth narrowing as the absorbed pump power becomes higher.