Selective laser melting (SLM) is a very promising additive manufacturing (AM) technology for fabrication of thin-walled parts due to its high forming accuracy with complex shape. The higher temperature gradient in rapid heating and cooling process is prone to produce larger thermal stress, which will induce warpage deformation of SLMed parts. However, most of the current SLM stress studies focus on the residual stress, and only a few reports on the transient stress in the thermal cycle during SLM. In this work, a thermal-mechanical coupled transient dynamic finite element model was established to study the effects of laser scan rate and layer thickness on stress evolution during SLM processing. The results show that under the action of thermal cycle, the internal stress evolution in SLM of titanium alloy thin-walled parts presents a thermal stress cycle. Under the relief annealing of the thermal stress cycle, the peak thermal stress increases first and then decreases in the heating stage, and stabilizes and approaches the value of residual stress in the cooling stage. The residual stress of SLMed thin-walled parts is less than the transient peak stress during heating. After several thermal cycles with stress relief annealing effect, the peak thermal stress of SLM thin-walled parts can be reduced by more than 30%.