We discuss the non-equilibrium properties of a thermally driven micromachine consisting of three spheres which are in equilibrium with independent heat baths characterized by different temperatures. Within the framework of a linear stochastic Langevin description, we calculate the time-dependent average irreversibility that takes a maximum value for a finite time. This time scale is roughly set by the spring relaxation time. The steady-state average entropy production rate is obtained in terms of the temperatures and the friction coefficients of the spheres. The average entropy production rate depends on thermal and/or mechanical asymmetry of a three-sphere micromachine. We also obtain the center of mass diffusion coefficient of a thermally driven three-sphere micromachine as a function of different temperatures and friction coefficients. With the results of the total entropy production rate and the diffusion coefficient, we finally discuss the efficiency of a thermally driven micromachine.