This study aims to develop physical modeling and understanding of the coupled electrodiffusion, heat generation, and thermal transport occurring in electric double layer capacitors (EDLCs) during constant-current cycling. To do so, the governing energy equation was derived from first principles and coupled with the modified Poisson-Nernst-Planck model for transient electrodiffusion in a binary and symmetric electrolyte. In particular, irreversible Joule heating and reversible heat generation rates due to ion diffusion, steric effects, and changes in entropy of mixing in EDLCs were rigorously formulated. Detailed numerical simulations of the temperature rise in the electrolyte were performed for planar electrodes. The results qualitatively reproduced experimental data reported in the literature under various charging/discharging conditions.