Thermal and autogenous deformations of high-performance concrete at early ages have significant impact on the performance, serviceability, and durability of concrete structures. While substantial past research has significantly improved our fundamental understanding of the autogenous shrinkage and of the coefficient of thermal expansion (CTE) of cement paste and mortar, such understanding for concrete, especially modern types of high-performance concrete at early ages, remains inadequate. Accordingly, a new Temperature Stress Testing Machine (TSTM) capable of generating reliable data on autogenous shrinkage and CTE of concrete from very early ages has been built. After a review of relevant major aspects, key features of the newly-built TSTM are reported, with a focus on advanced thermal regulation and deformation capturing systems. The outcomes of a study using the newly-developed TSTM on autogenous deformation and CTE of early-age concrete (two mixtures with water-to-binder ratio of 0.35 and 0.42) subject to different curing temperatures (23, 35 and 45 °C) are then presented. Higher curing temperatures significantly accelerate the development of autogenous shrinkage at very early ages, whereas after the initial period, the magnitude of autogenous shrinkage cured at the intermediate temperature of 35 °C gradually becomes the largest. Despite this cross-over, the maturity concept appears appropriate to approximate the effect of curing temperature on autogenous shrinkage of concrete at early ages. The linear CTE of early-age concrete, obtained using stepped temperature profiles, follows a clear rising trend after setting. Based on the newly-measured CTE, an attempt was made to separate thermal strain and self-desiccation shrinkage, in which the presence of non-negligible delayed thermal strain became evident.