Rail defects cause numerous railway accidents. Trains are derailed and serious consequences often occur. Compared to traditional bulk wave testing, ultrasonic guided waves (UGWs) can provide larger monitoring ranges and complete coverage of the waveguide cross-section. These advantages are of significant importance for the non-destructive testing (NDT) of the continuously welded rail, and the technique is therefore widely used in high-speed railways. UGWs in continuous welded rail (CWR) and their propagation characteristics have been discussed in this paper. Finite element methods (FEMs) were used to accomplish a vibration modal analysis, which is extended by a subsequent dispersion analysis. Wave structure features were illustrated by displacement profiles. It was concluded that guided waves have the ability to detect defects in the rail via choice of proper mode and frequency. Additionally, thermal conduction that is caused by temperature variation in the rail is added into modeling and simulation. The results indicated that unbalanced thermal distribution may lead to the attenuation of UGWs in the rail.