我不会直接调用Disconnect()并从TIdHTTP断开套接字连接，而是会引发一个异常，比如调用SysUtils.Abort()，并让TIdHTTP或调用线程在请求完全中止后关闭套接字。

procedure TMyThread.OnWork(ASender: TObject; AWorkMode: TWorkMode; AWorkCount: int64);
begin
  if Self.Abort then SysUtils.Abort;
end;

procedure TMyThread.Execute;
var
  HTTP: TIdHTTP;
begin
  HTTP := TIdHTTP.Create;
  try
    ...
  finally
    HTTP.Free;
  end;
end;

试着这样做：

procedure TMyThread.OnWork(ASender: TObject; AWorkMode: TWorkMode; AWorkCount: int64);
begin
  try  
    if abort then (asender as tidhttp).Disconnect;
  except
  end;
end;

procedure TMyThread.Execute;
var
  HTTP: TIdHTTP;
begin
  HTTP := TIdHTTP.Create;
  try
    try
     ...
    except
      on E:Exception do ...//do not re-raise it.
    end
  finally
    HTTP.Free;
  end;
end;

尝试捕获线程异常。