<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0303</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2009-08-17</periodOfReport>

    <notSubjectToSection16>0</notSubjectToSection16>

    <issuer>
        <issuerCik>0000850660</issuerCik>
        <issuerName>THERMADYNE HOLDINGS CORP /DE</issuerName>
        <issuerTradingSymbol>THMD</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001342298</rptOwnerCik>
            <rptOwnerName>Adorjan J Joe</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>223 N. BEMISTON AVE</rptOwnerStreet1>
            <rptOwnerStreet2></rptOwnerStreet2>
            <rptOwnerCity>CLAYTON</rptOwnerCity>
            <rptOwnerState>MO</rptOwnerState>
            <rptOwnerZipCode>63105</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>1</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>0</isOther>
        </reportingOwnerRelationship>
    </reportingOwner>

    <derivativeTable>
        <derivativeTransaction>
            <securityTitle>
                <value>Stock Option (Right To Buy)</value>
            </securityTitle>
            <conversionOrExercisePrice>
                <value>4.79</value>
                <footnoteId id="F1"/>
            </conversionOrExercisePrice>
            <transactionDate>
                <value>2009-08-17</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>A</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionTimeliness>
                <value></value>
            </transactionTimeliness>
            <transactionAmounts>
                <transactionShares>
                    <value>40000</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>0</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>A</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <exerciseDate>
                <footnoteId id="F2"/>
            </exerciseDate>
            <expirationDate>
                <value>2019-08-17</value>
            </expirationDate>
            <underlyingSecurity>
                <underlyingSecurityTitle>
                    <value>Common Stock</value>
                </underlyingSecurityTitle>
                <underlyingSecurityShares>
                    <value>40000</value>
                </underlyingSecurityShares>
            </underlyingSecurity>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>40000</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </derivativeTransaction>
    </derivativeTable>

    <footnotes>
        <footnote id="F1">Consistent with the terms of the 2004 Non-Employee Directors Stock Option Plan, the exercise price is equal to the closing sales price of the registrant's common stock on August 14, 2009, the last market trading day prior to the date of the grant.</footnote>
        <footnote id="F2">One-third of the option vests on each of the grant date, the first anniversary of the grant date and the second anniversary of the grant date.  Therefore, the option vests with respect to 13,333 of the underlying shares on August 17, 2009 and August 17, 2010, respectively, and with respect to 13,334 of the underlying shares on August 17, 2011.</footnote>
    </footnotes>

    <ownerSignature>
        <signatureName>Debbie Bockius, Attorney in Fact</signatureName>
        <signatureDate>2009-08-19</signatureDate>
    </ownerSignature>
</ownershipDocument>
