The concepts and tools from the theory of non-Hermitian quantum systems are used to investigate the dynamics of a quantum thermal machine. This approach allows us to characterize in full generality the analytical time-dependent dynamics of an autonomous quantum thermal machine, by solving a non-Hermitian Liouvillian for an arbitrary initial state. We show that the thermal machine features a number of exceptional points for experimentally realistic parameters. The signatures of a third-order exceptional point, both in the short and long-time regimes are demonstrated. As these points correspond to regimes of critical decay towards the steady state, in analogy with a critically damped oscillator, our work opens interesting possibilities for the precise control of the dynamics of quantum thermal machines.