Temperature increase in saturated porous materials under undrained conditions leads to thermal pressurization of the pore fluid due to the discrepancy between the thermal expansion coefficients of the pore fluid and of the solid matrix. This increase in the pore fluid pressure induces a reduction of the effective mean stress and can lead to shear failure or hydraulic fracturing. The equations governing the phenomenon of thermal pressurization are presented and this phenomenon is studied experimentally for a saturated granular rock in an undrained heating test under constant isotropic stress. Careful analysis of the effect of mechanical and thermal deformation of the drainage and pressure measurement system is performed and a correction of the measured pore pressure is introduced. The test results are modelled using a non-linear thermo-poro-elastic constitutive model of the granular rock with emphasis on the stress-dependent character of the rock compressibility. The effects of stress and temperature on thermal pressurization observed in the tests are correctly reproduced by the model.