A confocal micro X-ray fluorescence thickness gauge based on a polycapillary focusing X-ray lens, a polycapillary parallel X-ray lens and a laboratory X-ray source was designed in order to analyze nondestructively the thickness of thin film and cladding material. The performances of this confocal thickness gauge were studied. Two Ni films with a thickness of about 25 and 15 μm respectively were measured. The relative errors corresponding to them were 3.5% and 7.1%, respectively. The thickness uniformity of a Ni films with a thickness of about 10 μm was analyzed. This confocal technology for measuring the thickness was both spatially resolved and elemental sensitive, and therefore, it could be used to measure the thickness of the multilayer sample and analyze the thickness uniformity of the sample. This confocal thickness gauge had potential applications in analyzing the thickness of sample.