An accurate monitoring of axial and radial thermal strains of a specimen of the Callovo-Oxfordian claystone, heated under constant confining stress condition close to that prevailing in the Bure Underground Research Laboratory at 490 m depth, evidenced a particular behaviour feature. The effect of the transverse isotropy of the claystone on thermal strains was confirmed, but it was also shown that the thermo-elasto-plastic overall volumetric response was mainly due to the axial response, in which some influence of the adsorbed water is suspected. Conversely, the reversible radial response observed along a temperature cycle could be modelled through a simple homogenisation method that confirmed that it was governed by the thermo-elastic expansion/contraction response of the constitutive minerals. Hence, the simultaneous occurrence of elastic thermal radial strains and elasto-plastic thermal axial strains was evidenced.