An adaptive meshless element-free Galerkin-finite element (EFG-FE) coupling model for thermal elasto-plastic contact problems is developed to investigate the influences of the steady-state frictional heating on the contact performance of two contacting bodies. The thermal elasto-plastic contact problems using the initial stiffness method is presented. The local adaptive refinement strategy and the strain energy gradient-based error estimation for EFG-FE coupling method are combined. The adaptive meshless model takes into account the temperature variation, micro plastic flow, and the coupled thermo-elasto-plastic behavior of the materials, considering the strain-hardening property of the materials and temperature-dependent yield strength. The adaptive model is verified through the contact analysis of a cylinder with an elasto-plastic plane. The thermal effects on the contact pressure, stresses distributions with certain frictional heat inputs are studied. The results show that the accuracy of the solutions from the adaptive refinement model is satisfactory but the cost of the CPU time is much less than that for the uniform refinement calculation.