We study the oscillatory thermal dynamics of a high-Q PDMS-coated silica microtoroid both experimentally and theoretically. We demonstrate that the competing thermo-optic effects in silica and PDMS lead to thermally-induced self-modulation in the transmission spectra. A dynamical model is built using thermal dynamics and coupled-mode theory to analyze the oscillation behaviors. Effects of input power, taper-cavity air gap and wavelength scanning speed on the oscillation behaviors are investigated with a detailed comparison between theory and experiments.