China's first 35 kJ high temperature superconducting magnetic energy storage (SMES) system with an experiment equipment was depicted. The dynamic heat analysis of the magnet of the SMES was conducted through the current load test on the directly cooled conduction magnet. The research results were as follows: when the converter charges and discharges the magnet for energy storage, the hysteresis loss is the main part of power loss, and contributes significantly to temperature rise; reducing the current frequency at the side of direct current is conducive to restraining temperature rise. The optimizing factors of the cool-guide structure were analyzed based on the heat stability theory, and it was found that the heat transfer of its key part (at the top of the magnet) must be strengthened to reduce the axial temperature difference of the magnet.