We study the Skyrmion dynamics in thin films under a temperature gradient. Our numerical simulations show that both single and multiple Skyrmions in a crystal move towards the high temperature region, which is contrary to particle diffusion. Noticing a similar effect in the domain wall motion, we employ a theory based on magnon dynamics to explain this counterintuitive phenomenon. Unlike the temperature driven domain wall motion, the Skyrmion's topological charge plays an important role, and a transverse Skyrmion motion is observed. Our theory turns out to be in agreement with numerical simulations, both qualitatively and quantitatively. Our calculation indicates that a very promising Skyrmion dynamic phenomenon can be observed in experiments.