Statistical Energy Analysis (SEA) is the most popular method intended to high frequency vibrations in structures and acoustics. Based on an energy approach, SEA is a simple application of energy balance under the diffuse field assumption. In this study, a thermodynamical approach of SEA is proposed. Considering that the exact repartition of vibrational energy on modes is not known, an appropriate definition of the structure function in SEA is introduced. Then, the related relationships of vibrational temperature and vibrational entropy are derived. Similarities and differences with classical temperature and entropy of gases are discussed. In particular, the meaning and consequences of the second principle of thermodynamics are clarified within the context of SEA.