Cyclic voltammetry (CV) is a powerful technique for characterizing electrochemical properties of electrochemical devices. During charging-discharging cycles, thermal effect has profound impact on its performance, but existing theoretical models cannot clarify such intrinsic mechanism and often give poor prediction. Herein, we propose an interfacial model for the electro-thermal coupling, based on fundamentals in non-equilibrium statistical mechanics. By incorporating molecular interactions, our model shows a quantitative agreement with experimental measurements. The integral capacitance shows a first enhanced then decayed trend against the applied heat bath temperature. Such a relation is attributed to the competition between electrical attraction and Born repulsion via dielectric inhomogeneity, which is rarely understood in previous models. In addition, as evidenced in recent experimental CV tests, our model predicts the non-monotonic dependence of the capacitance on the bulk electrolyte density, further demonstrating its high accuracy. This work demonstrates a potential pathway towards next-generation thermal regulation of electrochemical devices.