- A new physical effect, turbulent thermal diffusion, is discussed. This phenomenon is related to the dynamics of small inertial particles in incompressible turbulent fluid flow. At large Reynolds and Peclet numbers the turbulent thermal diffusion is much stronger than the molecular thermal diffusion. It is shown that inertia of particles under certain conditions can cause a large-scale instability of spatial distribution of particles. Inertial particles are concentrated in the vicinity of the minimum (or maximum) of the mean temperature of the surrounding fluid depending on the ratio of material particle density to that of the surrounding fluid.