Research interest in the thermo-mechanical behaviour of unsaturated soils is growing as a result of an increasing number of geomechanical problems involving both thermal and unsaturated effects. In this framework, this paper addresses a unified thermo-mechanical experimental study of saturated and unsaturated states and, in so doing, contributes to the understanding of the non-isothermal mechanical behaviour of unsaturated soils. The present experimental program has been carried out on a sandy silt called “Sion silt” using two thermo-hydro-mechanical (THM) cells, one isotropic and one oedometric. The characteristics of these two cells are briefly presented, as well as the THM paths followed. The main results are presented and interpreted in the light of a suitable THM constitutive framework. The compressibility of the soil tested appears to be not affected by the temperature but decreases with a suction increase. As far as the apparent preconsolidation stress is concerned, the results show a decrease of the yield limit with increasing temperature, while a suction increase tends to enhance this limit. Finally, an analytical expression is proposed to describe the evolution of the apparent preconsolidation stress with respect to temperature and suction.