Because of notable distortion in high-speed milling of grid sheet, it is difficult to choose a feasible processing scheme for this kind of workpiece. This article attempts to present a method to analyze the stress and deformation of grid sheet under different processing schemes based on a coupled mechanical–thermal finite element model, which provides a convenient and flexible platform to evaluate the performance of processing scheme in high-speed milling and optimize the cutting conditions. After a thorough analysis of the whole milling process of grid sheet, the tool path was discretized to make it convenient for the modeling of material removal process. An analytical thermal load calculation method and an experimental mechanical load calculation method were adopted to determine the loads exerted on the grid sheet. The constraint of the fixture was also considered, and finally, an ANSYS Parametric Design Language–based finite element method model was established. Based on this model, stresses and deformations under a given processing scheme with or without considering heat effect were compared, and it shows that cutting heat has great effect on the magnitude and distribution of deformation and stress. In addition, effects of some parameters on machining quality were investigated, and it was found that radial depth of cut has more impact than other parameters.