Thermal error is the major factor in restricting the accuracy of CNC machining. The modeling accuracy is the key of thermal error compensation which can achieve precision machining of CNC machine tool. The traditional thermal error compensation models mostly focus on the fitting accuracy without considering the robustness of the models, it makes the research results into practice is difficult. In this paper, the experiment of model robustness is done in different spinde speeds of leaderway V-450 machine tool. Combining fuzzy clustering and grey relevance selects temperature-sensitive points of thermal error. Using multiple linear regression model (MLR) and distributed lag model (DL) establishes model of the multi-batch experimental data and then gives robustness analysis, demonstrates the difference between fitting precision and prediction precision in engineering application, and provides a reference method to choose thermal error compensation model of CNC machine tool in the practical engineering application.