Traditional two-dimensional thermography, despite being non-invasive and useful for defect detection in the construction field, is limited in effectively assessing complex geometries, inaccessible areas, and subsurface defects. This paper introduces Thermo-LIO, a novel multi-sensor system that can enhance Structural Health Monitoring (SHM) by fusing thermal imaging with high-resolution LiDAR. To achieve this, the study first develops a multimodal fusion method combining thermal imaging and LiDAR, enabling precise calibration and synchronization of multimodal data streams to create accurate representations of temperature distributions in buildings. Second, it integrates this fusion approach with LiDAR-Inertial Odometry (LIO), enabling full coverage of large-scale structures and allowing for detailed monitoring of temperature variations and defect detection across inspection cycles. Experimental validations, including case studies on a bridge and a hall building, demonstrate that Thermo-LIO can detect detailed thermal anomalies and structural defects more accurately than traditional methods. The system enhances diagnostic precision, enables real-time processing, and expands inspection coverage, highlighting the crucial role of multimodal sensor integration in advancing SHM methodologies for large-scale civil infrastructure.