Construction on soft clay deposits poses challenges to geotechnical engineers due to low shear strength, high compressibility, and complex dynamic response. The main soil improvement technique used in practice requires the placement of a surcharge load in conjunction with vertical drains, which is time consuming, requires transporting significant amount of surcharge material, and can only be used in onshore applications. As an alternative, this study investigates the improvement of soft clays using in-situ heating with geothermal heat exchangers. Heating of soft clays leads to differential expansion of the pore water and soil solids, causing pressurization and drainage of the pore water resulting in permanent volumetric contraction. While the impact of temperature on soft soils has been widely investigated, a key missing piece of information is the effect of initial mean effective stress of the soft clay on thermal volume change and corresponding increase in undrained shear strength. To address this limitation, the overall objective of this study is to understand the effects of subjecting saturated normally consolidated clays with different initial mean effective stresses to drained heating. Innovative testing approaches include glass thermal triaxial tests which permits use of image analysis to track thermal volume changes, and a thermal triaxial cell with embedded bender elements to measure the shear wave velocity of clay specimens. The magnitude of thermal volumetric strain increased with increasing initial mean effective stress, which is a departure from expected trends in established constitutive models. A corresponding increase in undrained shear strength with both temperature and initial mean effective stress was observed. Further, an increase in the shear wave velocity was observed during heating and no significant change was observed during cooling, indicating permanent hardening of the clay. Experimental results were useful in calibrating a new constitutive model for the thermal volume change of normally consolidated clays, which was implemented into numerical simulations of heat transfer and water flow around a vertical drain containing a geothermal heat exchanger. Overall, this study provides the technology behind an exciting new thermal soil improvement technique that can have positive long-term energy savings for civil infrastructure in soft soil regions.