As an auxiliary braking device of heavy-duty vehicle, eddy current retarder can reduce the brake failure due to the high temperature of the main brake. Nevertheless, the eddy current retarder will generate high temperature locally during the working process of it, leading to the decline of the brake power. The study on the heating characteristics of eddy current retarder is advantageous to the layout and parameter design of the liquid cooling channel of the retarder body and prolong the effective time of the auxiliary brake. In this research, a new kind of integrated eddy current retarder has been established. The thermal-magnetic coupling characteristics are studied and the laws of variation in torque output of auxiliary brake affected by the body temperature of retarder are analyzed. The boundary conditions are provided for the construction of the cooling channel. Firstly, the distribution of magnetic field and the characteristics of eddy current are simulated. Then, the distribution in temperature field of the retarder’s stator and rotor is simulated and its influencing factors are analyzed with the consideration of the effect of air convection heat. Finally, the heating characteristics towards various parts of the retarder are obtained and its influence on the stability is analyzed. The result demonstrates that the source of heat concentrates in the inner side of the stator of the eddy current retarder, which will reduce the braking torque. Arranging liquid cooling channels near the inner side of the stator can effectively reduce the temperature of it, extending the braking time.