The high-order harmonic generally occurred in the connected transformer under the practical operation condition which will cause the transformer nonuniform heating and bring unexpected hazard. In this study, to analysis the thermal field distribution, a 3D finite element model of the connected transformer is established. The magnetic flux of the iron core, magnetic flux leakage of the tank wall and the frame clamps under operation condition were calculated. Also, the thermal field distribution and hot spot temperature of the iron core and clamps has been calculated using magnetic-thermal coupling method. The analysis results indicated that, when the high-order harmonic occurred, both of the magnetic flux of the iron core and magnetic flux leakage of the tank wall and the frame clamps were increased significantly. The magnetic flux leakage in the middle part of the tank became obviously. Therefore, the magnetic shielding at this part should be enhanced. The hot spot temperature of the iron core and clamps increases 6.7 °C and 1.7 °C, respectively. Thus, a rigorous monitoring should be implemented to prevent equipment insulation fail cause by the local overheat. The analysis results of paper could be used in the connected transformer optimal design and practical operation maintain.