Thermo-elasticity couples the deformation of an elastic (solid) body to its temperature and vice-versa. It is a solid-like property. Highlighting such property in liquids is a paradigm shift: it requires long-range collective interactions that are not considered in current liquid descriptions. The present microthermal studies provide evidence for such solid-like correlations. It is shown that ordinary liquids emit a modulated thermal signal when applying a low frequency (Hz) mechanical shear stress. The liquid splits in several tenths microns wide hot and cold thermal bands, all varying synchronously and separately with the applied stress wave reaching a sizable amplitude of ± 0.2 °C. Thermomechanical coupling challenges fluid dynamics: it reveals that the liquid does not dissipate the energy of shear waves at low frequency, but converts it in non-uniform thermodynamic states. The dynamic thermal changes work in an adiabatic way supporting the hypothesis of the excitation of macroscopic elastic correlations whose range is limited to several tens of microns, in accordance with recent non-extensive theoretical models. The proof of thermomechanical coupling opens the way to a new generation of energy-efficient temperature converters.