To compute and analyze vibrationally resolved electronic spectra at zero temperature, we have recently implemented the on-the-fly ab initio extended thawed Gaussian approximation [A. Patoz et al., J. Phys. Chem. Lett. 9, 2367 (2018)], which accounts for anharmonicity, mode–mode coupling, and Herzberg–Teller effects. Here, we generalize this method in order to evaluate spectra at non-zero temperature. In line with thermo-field dynamics, we transform the von Neumann evolution of the coherence component of the density matrix to the Schrödinger evolution of a wavefunction in an augmented space with twice as many degrees of freedom. Due to the efficiency of the extended thawed Gaussian approximation, this increase in the number of coordinates results in nearly no additional computational cost. More specifically, compared to the original, zero-temperature approach, the finite-temperature method requires no additional ab initio electronic structure calculations. At the same time, the new approach allows for a clear distinction among finite-temperature, anharmonicity, and Herzberg–Teller effects on spectra. We show, on a model Morse system, the advantages of the finite-temperature thawed Gaussian approximation over the commonly used global harmonic methods and apply it to evaluate the symmetry-forbidden absorption spectrum of benzene, where all of the aforementioned effects contribute. I. INTRODUCTI