Accurately predicting the thermoelastic damping (TED) in the fundamental components of resonators is one of the keys to enhancing their quality factor (Q- factor). This study aims to establish a new theoretical model for predicting the TED of cylindrical shells at micro/nanoscale considering size-dependent effect. The surface effect and the dual-phase-lags heat conduction model are included in the motion equation. The motion equation under transverse deflection-dominated vibration was simplified based on the Donnell–Mushtari–Vlasov approximation method. Applying the Galerkin method the nonclassical resonant frequency has been derived by combining the compatibility equations and motion equation. The analytical solutions for TED of cylindrical shells under classical boundary conditions were derived using the complex frequency method. The correctness of the theoretical derivations and numerical results has been validated through numerical comparison method. The numerical results indicate that both size-dependent surface effect and thermal conductivity effect are crucial to the TED of cylindrical shells. Specifically, surface effect contributes to reducing the thermoelastic dissipation and enhancing the Q-factor of micro/nano cylindrical shells. This conclusion is contrary to the TED predictions for cylindrical shells based on nonlocal elasticity theory. Moreover, the impacts of other key factors on the frequency attenuation, frequency shift, and TED of cylindrical shells were discussed. This study is helpful to the design of resonators made of micro/nano cylindrical shells.