We use direct numerical simulations to investigate the interaction between the temperature field of a fluid and the temperature of small particles suspended in the flow, employing both one and two-way thermal coupling, in a statistically stationary, isotropic turbulent flow. Using statistical analysis, we investigate this variegated interaction at the different scales of the flow. We find that the variance of the fluid temperature gradients decreases as the thermal response time of the suspended particles is increased. The probability density function (PDF) of the fluid temperature gradients scales with its variance, while the PDF of the rate of change of the particle temperature, whose variance is associated with the thermal dissipation due to the particles, does not scale in such a self-similar way. The modification of the fluid temperature field due to the particles is examined by computing the particle concentration and particle heat fluxes conditioned on the magnitude of the local fluid temperature gradient. These statistics highlight that the particles cluster on the fluid temperature fronts, and the important role played by the alignments of the particle velocity and the local fluid temperature gradient. The temperature structure functions, which characterize the temperature fluctuations across the scales of the flow, clearly show that the fluctuations of the fluid temperature increments are monotonically suppressed in the two-way coupled regime as the particle thermal response time is increased. Thermal caustics dominate the particle temperature increments at small scales, that is, particles that come into contact are likely to have very large differences in their temperature. This is caused by the nonlocal thermal dynamics of the particles...