Facial Landmark Detection (FLD) in thermal imagery is critical for applications in challenging lighting conditions, but it is hampered by the lack of rich visual cues. Conventional cross-modal solutions, like feature fusion or image translation from RGB data, are often computationally expensive or introduce structural artifacts, limiting their practical deployment. To address this, we propose Multi-Level Cross-Modal Knowledge Distillation (MLCM-KD), a novel framework that decouples high-fidelity RGB-to-thermal knowledge transfer from model compression to create both accurate and efficient thermal FLD models. A central challenge during knowledge transfer is the profound modality gap between RGB and thermal data, where traditional unidirectional distillation fails to enforce semantic consistency across disparate feature spaces. To overcome this, we introduce Dual-Injected Knowledge Distillation (DIKD), a bidirectional mechanism designed specifically for this task. DIKD establishes a connection between modalities: it not only guides the thermal student with rich RGB features but also validates the student's learned representations by feeding them back into the frozen teacher's prediction head. This closed-loop supervision forces the student to learn modality-invariant features that are semantically aligned with the teacher, ensuring a robust and profound knowledge transfer. Experiments show that our approach sets a new state-of-the-art on public thermal FLD benchmarks, notably outperforming previous methods while drastically reducing computational overhead.