Thermals don't let you see through walls. They pick up on IR radiation that warm objects emit. IR can get blocked even by a pane of glass (As you can see on the picture). It is used to make spotting easier, and engaging targets through smoke and such. It's especially good if you're in a field and there's vegetation and debris, and it's hard to see enemies, cause the person glows in IR even if they are camouflaged and hard to see in the visible light spectrum.

Second example, bunker is pitch black (also at night), can't see with nods, but thermals show the person glowing red hot.

I think you're referring to the eagle eye helmet system for seeing through walls when the enemy is seen by a friendly