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Power scaling of fiber laser systems requires the development of innovative active fibers, capable of providing high pump absorption, ultralarge effective area, high-order mode suppression, and resilience to thermal effects. Thermally induced refractive index change has been recently appointed as one major limitation to the achievable power, causing degradation of the modal properties and preventing to obtain stable diffraction-limited output beam. In this paper, the effects of thermally induced refractive index change on the guiding properties of a double-cladding distributed modal filtering rod-type photonic crystal fiber, which exploits resonant coupling with high-index elements to suppress high-order modes, are thoroughly investigated. A computationally efficient model has been developed to calculate the refractive index change due to the thermo-optical effect, and it has been integrated into a full-vector modal solver based on the finite-element method to obtain the guided modes, considering different heating conditions. Results have shown that the single-mode regime of the distributed modal filtering fiber is less sensitive to thermal effects with respect to index-guiding fibers with the same effective area. In fact, as the pump power is increased, their single-mode regime is preserved, being only blue-shifted in wavelength.