Periodic structure change of semi-crystalline polyethylene induced by the temperature modulation was studied with temperature modulated X-ray diffractometry. Attention was paid to the changes of the long spacing, the crystal thickness and the amorphous thickness at temperatures up to 122 degrees C. An annealed sample and a quenched sample were measured. It was found that in the annealed sample the periodic changes of the long spacing and the amorphous thickness occur in-phase with the temperature modulation, but the crystal thickness changed anti-phase to the temperature modulation. On the other hand, in the quenched sample, all of the long spacing, the crystal thickness and the amorphous thickness changed in-phase to the temperature modulation. Two types of models for the structure changes, the insertion mode (model-i) and the surface crystallization and melting (model-s), were proposed. The difference of structure changes between the quenched and annealed samples was explained by transition of the type of the structure change from the model-i to the model-s with the annealing time.