Residual stress measurements inside a dissimilar metal welded joint were performed during thermal cycles using an engineering neutron diffractometer, TAKUMI in J-PARC/MLF. The materials used for the welded joint were SUS316L and NCF600 for base plates, and Alloy82 for the weld metal. Ultrasonic shot peening was applied to the welded joint after welding for introducing compressive residual stresses on the surface layer. Tensile residual stresses were observed at the depth of 4.2 mm of the welded joint at the room temperature. Behaviors of the tensile residual stresses in NCF600, Alloy82 and SUS316L were measured during thermal cycles. As the temperature increased, the tensile residual stresses in NCF600 and Alloy82 increased, whereas the tensile residual stress in SUS316L decreased. These phenomena in the temperature increasing process can be explained by the thermal expansion coefficient of each material.