Discrete dislocation simulations of thin films on semi-infinite substrates under cyclic thermal loading are presented. The thin film is modelled as a two-dimensional single crystal under plane strain conditions. Dislocations of edge character can be generated from initially present sources and glide in the film on a given set of slip systems. At each time step of the simulation, the stress field in the film is calculated through the solution of a boundary value problem, taking into account the long-range stress contribution of the current dislocation structure. The numerical results show a clear size effect in the plastic behaviour of two films with thicknesses of 0.25mum and 0.5mum. The mechanical response of the two films during the cyclic thermal loading is analysed, with an emphasis on the evolution of the dislocation structure.