We consider a compact three-mirror cavity consisting of a flat output coupler, a curved folding mirror, and an active medium with one facet cut at the Brewster angle and the other facet coated for unit reflectivity. We examine the sensitivity to thermal lensing and to self-focusing in the active medium of the Gaussian beam that is circulating in that cavity. We use a simple thin-lens model; the astigmatism of the beam that is circulating in the cavity and the nonlinear coupling between the field distributions along the two orthogonal axes are taken into account. We find configurations in which beam ellipticity is compensated for at either end of the cavity in the presence of thermal lensing. We have derived an analytical criterion that predicts the sensitivity of the beam size to nonlinear lensing. The ability of the cavity to favor self-mode locking is found to be sensitive to the strength of thermal lensing. In the absence of thermal lensing, cavities operated as telescopic systems (C = 0) or self-imaging systems (B = 0) are most appropriate for achieving self-mode locking, with nonlinear mode selection accomplished through saturation of the spatially varying laser gain. We identify conditions for which self-mode locking can be produced by variable-reflectivity output couplers with either maximum or minimum reflectivity at the center of the coupler. We use our model to estimate the nonlinear gain produced in laser cavities equipped with such output couplers. We identify a cavity configuration for which nonlinear lensing can simultaneously produce mode locking and correction of beam ellipticity at the output coupler.