A high speed ball screw system generates more heat naturally and resultant more thermal expansion, which adversely affects the accuracy of positioning. Therefore, an air cooling system was set in ball screw shaft in this paper to dominate the thermal error and achieve temperature equilibrium faster. In order to estimate the thermal error of ball screw system and effectiveness of air cooling system, thermal behavior models of finite element method and modified lumped capacitance method were developed separately which includes the heat generation power of the main heat source of the ball screw system and other boundary conditions. The completed models were used to simulate the temperature distribution, thermal deformation and air cooling performance. Compared with experiments, it is shown that these methods can well predict the air cooling performance.