We report on the synthesis of new thermally cross-linkable all-conjugated diblock copolymers composed of a poly(3-hexylthiophene) (P3HT) block and an acrylate-functionalized polythiophene block. These copolymers are then used in bulk heterojunction (BHJ) solar cells with [6,6]-phenyl C61-butyric acid methyl ester (PCBM), and their photovoltaic performances are compared with standard P3HT/PCBM devices. Thermal cross-linking of the functional copolymers/PCBM blends is performed to improve the thermal stability of the active layer. BHJ photovoltaic cells with cross-linkable copolymers and PCBM show initial power conversion efficiencies slightly lower than that of P3HT devices. However, solar cells with cross-linkable copolymers retain more than 85% of their initial power efficiency value after 165 h of thermal annealing (accelerated aging test), whereas the same devices with P3HT retain less than 65% of their initial power efficiency. This improvement of the thermal stability of BHJ photovoltaic cells is the result of the polymer network that hampers PCBM diffusion and phase separation, as confirmed with TEM and AFM analysis of the microscopic morphology. Such an improvement is mostly observed when using a cross-linkable P3HT with a short spacer between the acrylate group and the polythiophene backbone.