From the perspective of mechanical structures, the problem of the thermal stress within the mechanically mounted KDP crystals after the energy absorption from a high-energy laser beam is studied. The temperature rise within KDP crystals induced by the laser energy absorption is theoretically analyzed, and the generation mechanism of the thermal stress within the mechanically mounted KDP crystal is investigated. By the finite element method, the temperature distribution and the thermal stress distribution in KDP crystals are simulated, and the effects of the structural parameters of the mounting set, the preforce, the friction coefficient, and the elastic modulus on the thermal stress are investigated. The results show that the mechanical mounting action provided by the mounting set is a major factor which causes the thermal stress within KDP crystals, and the thermal stress value is associated with the structural parameters of the mounting set.