Thermal stability of core-shell structured nanoparticles is of vital importance to their practical applications at elevated temperature. Understanding the evolution of chemical distribution and the crystal structure of core-shell nanostructures with temperature variation at the nanoscale will open the route for practical applications and property enhancement of nanoparticles through proper design of new nanomaterials. In this study, core-shell non-stoichiometric Cu5FeS4 icosahedral nanoparticles were investigated by in situ heating transmission electron microscopy. Compared to the high structural and compositional stability at room temperature, the interdiffusion of Cu and Fe atoms became significant, ending up with disappearance of chemical difference in the core and shell over 300 °C. In contrast, different crystal structures of the core and shell were preserved even after heating at 350 °C, indicating the high structural stability. The inconsistency between chemical composition and crystal structure should be ascribed to the interaction between the intrinsic strain existing in the icosahedrons and various structures of this material system. In other words, the geometrically intrinsic strain of the nano-icosahedrons is helpful to modulate/maintain the core-shell structure. These findings open new opportunities for revealing the thermal stability of core-shell nanostructures for various applications and are helpful for the controllable design of new core-shell nanostructures.