The proteomic differences between Pichia kudriavzevii under heat stress and that under heat-salt stress were analyzed by tandem mass tag (TMT)-based quantitative proteomics to identify the key proteins related to improved thermotolerance. The expression of heat shock protein (HSP) 12 and the enzymes related to ergosterol biosynthesis, including ergosterol biosynthetic protein (ERG) 28 and ERG25 was significantly improved by salt stress, thereby contributing to the structural and functional stability of intracellular proteins and the cell membrane under heat stress. Salt stress significantly increased the expression of glutathione S-transferase (GST) Y-2, which played an important role in inhibiting heat-induced oxidative damage of lipids and proteins. Meanwhile, salt stress significantly increased the expression of enzymes related to carbohydrate metabolism and energy metabolism under heat stress, including hexokinase (HK), glyceraldehyde-3-phosphate dehydrogenase (GAPDH), phosphoglycerate mutase 1 (PGAM1), PGAM2, phosphoglycerate kinase (PGK), alcohol dehydrogenase (ADHP), cytochrome c oxidase subunit 6A (COX6A), and V-type proton ATPase subunit c’ (ATP6L), thus contributing to the synthesis of intracellular ATP and improvement of its thermotolerance. The results of this study can provide important technical support for the genetic engineering of thermotolerant yeasts and the improvement of their ethanol production at high temperature.