We study the thermal transport occurring in the system of solar captured dark matter (DM) and explore its impact on the DM indirect search signal. We particularly focus on the scenario of self-interacting DM (SIDM). The flows of energies in and out of the system are caused by solar captures via DM–nucleon and DM–DM scatterings, the energy dissipation via DM annihilation, and the heat exchange between DM and solar nuclei. We examine the DM temperature evolution and demonstrate that the DM temperature can be higher than the core temperature of the Sun if the DM–nucleon cross section is sufficiently small such that the energy flow due to DM self-interaction becomes relatively important. We argue that the correct DM temperature should be used for accurately predicting the DM annihilation rate, which is relevant to the DM indirect detection.