When you knead bread, it becomes warm. From where does this thermal energy come?

It is friction only, from the hands and the kneading action. It isn't thermal.

Yeast does produce a certain amount of heat (thermal energy) as it grows.
I have never felt it when kneading, however. The dough is already warm from being in a warm place to activate the yeast.
It's an interesting question how much say 2 teaspoons of dry yeast in a dough would increase the temperature, but there are too many other variables.

Beer companies do very exact analyses of temperature rise of yeast in liquid.