Why does sys.exit() not exit when called inside a thread in Python?

sys.exit() raises the SystemExit exception, as does thread.exit(). So, when sys.exit() raises that exception inside that thread, it has the same effect as calling thread.exit(), which is why only the thread exits.

What if I did want to exit the program from the thread?

For Linux:

os.kill(os.getpid(), signal.SIGINT)

This sends a SIGINT to the main thread which raises a KeyboardInterrupt. With that you have a proper cleanup. Also you can register a handler, if you want to react differently.

The above does not work on Windows, as you can only send a SIGTERM signal, which is not handled by Python and has the same effect as os._exit().

For Windows:

You can use:

os._exit()

This will exit the entire process without any cleanup. If you need cleanup, you need to communicate with the main thread in another way.

What if I did want to exit the program from the thread?

Apart from the method Deestan described you can call os._exit (notice the underscore). Before using it make sure that you understand that it does no cleanups (like calling __del__ or similar).