Born in Falköping and raised in Värnamo, Thern started his professional career in 1985 when he joined Malmö FF, where he stayed for four years, winning two Allsvenskan titles in 1986 and 1988.
In 1989, Thern won the Guldbollen as Sweden's Footballer of the Year. That same year, he left for Benfica as part of a successful group of Scandinavian players that played there at the same time. It consisted of Danish international Michael Manniche (1983–1987), as well as the Swedish "armada" of Mats Magnusson (1987–1992), Thern (1989–1992), Glenn Strömberg (1982–84) and Stefan Schwarz (1990–94). Benfica were also coached by a Swede, Sven-Göran Eriksson (1982–1984 and 1989–1992).
Thern then played in Italy for Napoli and Roma. In 1997, he joined Rangers in Scotland, a move that lasted merely two years but nonetheless accompanied by silverware, a league title in 1999 – his final year in professional football – as frequent injuries forced him to retire early.