We propose and investigate an all-fiber thermo-optic modulator based on a side-polished twin-core fiber (TCF) Michelson interferometer (MI) coated with NaNdF4 nanoparticles. The MI was fabricated by tapering the splicing point between the TCF and a single mode fiber (SMF). A short suspended core fiber (SCF) is spliced to one core of the TCF to introduce a fixed optical phase difference (OPD). The side-polished core is coated with photo-thermal material NaNdF4. Owing to the ohmic heating of NaNdF4 nanoparticles under 808 nm pump laser, the effective refractive index of the polished core is changed, resulting in a phase shift of the MI. The MI has a significant modulation phase shift with 2.9 π near the wavelength of 1260 nm and can obtain an optical switching with a rise (fall) time of 152 (50) ms. The proposed device will have a great application potential in optical modulators due to compact structure and strong robustness.