This article presents the complex finite element method (ZFEM) for the sensitivity analysis of thermoelastic systems. ZFEM, based on the complex Taylor series approach, performs finite element procedures using complex variables such that the response variables (temperature, stress) and their sensitivities with respect to an input parameter of interest (shape, mechanical and thermal properties, loading) are obtained simultaneously. ZFEM offers significant advantages over alternative sensitivity analyses that require direct derivations of the sensitivity formulae, multiple runs, and/or remeshing. To verify the numerical implementation, a hollow cylinder with convective boundary conditions on the inside and outside surface was considered. First-order derivatives of the stress fields were compared with exact solutions to demonstrate the accuracy of ZFEM sensitivities. The results indicate that the ZFEM-based derivatives are of high accuracy, thereby showing its applicability in the design and analysis of thermoelastic problems.