In the recent years, development of machine tool with high speed feeding system have brought a rapid increase in productivity. Practically, thermal deformation problem due to high speed is, however, become a large obstacle to realize high precision machining. In this study, therefore, the construction of automatic error compensation system to control thermal deformation in high speed feeding system with real time is proposed. To attain this purpose, high speed feeding system with feeding speed 60mm/min is developed and experimental equation for relationship between thermal deformation and temperature of ball screw shaft using multiple regression analysis is established. Furthermore, in order to analyze thermal deformation error, compensation coefficient is determined and thermal deformation experiments is carried out. From obtained results, it is confirmed that automatic error compensation system constructed in this study is able to control thermal deformation error within $15{sim}20{mu}m$.