Facial landmark detection is a cornerstone in many facial analysis tasks such as face recognition, drowsiness detection, and facial expression recognition. Numerous methodologies were introduced to achieve accurate and efficient facial landmark localization in visual images. However, there are only several works that address facial landmark detection in thermal images. The main challenge is the limited number of annotated datasets. In this work, we present a thermal face dataset with annotated face bounding boxes and facial landmarks. The dataset contains 2, 556 thermal images of 142 individuals, where each thermal image is paired with the corresponding visual image. To the best of our knowledge, our dataset is the largest in terms of the number of individuals. In addition, our dataset can be employed for tasks such as thermal-to-visual image translation, thermal-visual face recognition, and others. We trained two models for the facial landmark detection task to show the efficacy of our dataset. The first model is a classic machine learning model based on an ensemble of regression trees. The second model is a deep learning model based on the U-net architecture. The dataset, annotations, source code, and pre-trained models are publicly available to advance research in thermal face analysis.