Electric generation of spin current via spin Hall effect is of great interest as it allows an efficient manipulation of magnetization in spintronic devices. Theoretically, pure spin current can be also created by a temperature gradient, which is known as spin Nernst effect. Here, we report spin Nernst effect-induced transverse magnetoresistance in ferromagnet/non-magnetic heavy metal bilayers. We observe that the magnitude of transverse magnetoresistance in the bilayers is significantly modified by heavy metal and its thickness. This strong dependence of transverse magnetoresistance on heavy metal evidences the generation of thermally induced pure spin current in heavy metal. Our analysis shows that spin Nernst angles of W and Pt have the opposite sign to their spin Hall angles. Moreover, our estimate implies that the magnitude of spin Nernst angle would be comparable to that of spin Hall angle, suggesting an efficient generation of spin current by the spin Nernst effect.