Tl L_II and In K X‐ray absorption fine structure (XAFS) measurements were performed on a TlInSe₂ thermoelectric material in the temperature range of 25–300 K including the incommensurate–commensurate phase transition temperature of about 135 K. Most of the bond lengths obtained from the present XAFS measurements are in good agreement with existing X‐ray diffraction data at room temperature, while only the Tl‐Tl correlation shows inconsistent values indicating the commensurate properties of the Tl chains expected from the thermodynamic properties. The present XAFS data clearly support positional fluctuations of the Tl atoms found in three‐dimensional atomic images reconstructed from X‐ray fluorescence holography.