Thermal neutrons are slow neutrons, which have a velocity and kinetic energy similar to those of atoms that are in thermal equilibrium at the ambient temperatures.

When the neutrons are generated in nuclear reactions, they have a very high kinetic energy, but after many collisions with the matter encountered in their path, they lose most of the energy.

After they have become slow enough, so that the likelihoods of losing or gaining energy in collisions become similar, they are considered thermal neutrons.

So a "young" neutron is a fast neutron, after some time it becomes a thermal neutron and eventually it decays into a hydrogen nucleus (proton).