The electro-hydraulic servo pump control system (EHSPCS) is a high-performance control unit that integrates a permanent magnet synchronous motor (PMSM) and a closed hydraulic system (CHS). The design features of high integration and a high power-weight ratio lead to the poor heat dissipation capacity and high thermal balance temperature of the system. Excessive temperature will seriously affect the system’s performance and service life. Therefore, the thermal balance analysis method of the EHSPCS under different loads and different wind speeds was proposed in this paper. Firstly, the PMSM and CHS were taken as research objects to analyze the heating source of the system. The thermal power model was established, and the calculation was performed. The variation rule of the thermal power generated by each component with the load torque under the typical rotating speed was obtained. Secondly, the system’s temperature field thermal balance solution model was established. ANSYS and AMESim software were used to calculate the thermal balance points of the PMSM and CHS under different working conditions. The change rule of the thermal balance temperature field of the EHSPCS under different loads was analyzed with the conditions of the natural cooling and forced wind cooling of the PMSM. Finally, an experimental platform was built for experimental research, and the experimental temperature of the system under different loads and different wind speeds was measured. Through comparison and analysis with the simulation results, the correctness and feasibility of the thermal balance theoretical analysis method were verified. The research results will lay the foundation for thermal balance research on the EHSPCS, and have guiding significance for system design, component selection, and load matching.