Sleep is physically, physiologically, and psychologically affected by several factors. The present study mainly focused on the effects of the pre-sleep thermal environment on sleep quality. The physical heat transfer between body and thermal environment determines the thermal state and thermal sensation of a subject, thereby physiologically affecting human sleep. Chamber experiments were designed to construct three different pre-sleep environments, namely, cool, neutral, and warm, with corresponding air temperatures of 23, 26, and 29 °C, respectively. The environmental condition during sleep was equally set in the entire experiment (24 °C/50%). Physiological measurements used included EEG, EOG, and EMG recordings from lights off (23:00) to lights on (7:00) to stage sleep for further analysis and seven-point skin temperature measurement. The subjects were required to fill up questionnaires before and after sleep. Results indicated that a warm pre-sleep environment led to high total sleep time (TST) and sleep efficiency (SE) and low sleep onset latencies (SOLs) and number of awakenings (NOA). Meanwhile, a cool pre-sleep environment results in low TST and SE and high SOL, WASO,and NOA. With regard to sleep stage, more deep sleep (N3 stage) and REM sleep were discovered in subjects exposed to warm environment before sleep. Subjects who stayed in warm environment before sleep exhibited the highest scores with respect to ease of falling asleep, sleep satisfaction, and ease of awakening. Therefore, a neutral-warm thermal sensation and near-zero distal–proximal temperature gradient are the important indicators of low SOL. Furthermore, the inherent mechanism was discussed in the present study.