Plasticity in heterogeneous metallic materials with small volumes is governed by the interactions of dislocations at interfaces. In particular, interfaces of a material confined in a small volume can strongly affect the mechanical properties of micro and nanosystems. In this paper, the framework of higher-order strain gradient plasticity theory with interfacial energy effect is used to investigate the coupling of interfacial energy with temperature and how it affects the initial yield strength (i.e., onset of plasticity) and the strain hardening rates of confined small metallic volumes. It is postulated that the interfacial energy decreases as temperature increases such that size effect decreases as temperature increases. As an application, the size effect of thermal loading of a film-substrate system is investigated. It is shown that the temperature at which the film starts to yield plastically is size-dependent, which is attributed to the size-dependent yield strength. Furthermore, the flow stress is more temperature sensitive as the size decreases.