The easiest way to explain this is to consider the case of thermal boundary layer development for the idealized case of a flat velocity profile. Before doing that, however, let's first consider the case of an infinitely long solid cylinder that is initially at a temperature T0, and suppose that, at time zero, the temperature at the surface is suddenly raised to T1 and held there for all time. How will the temperature within the cylinder vary with time. Well, the temperature within the cylinder will not rise uniformly. The outside will begin heating up first and, as heat gets conducted toward the center of the cylinder, the temperature further in will begin to rise. Initially, all the temperature variation will be confined to a thin (thermal boundary layer) region near the outer radius, where the temperature will change rapidly from T1 at the surface to essentially T0 only a short distance below the surface. As time progresses, and heat gets conducted further inward, the thickness of this thermal boundary layer will increase with time, eventually penetrating all the way to the center of the cylinder.
Now consider the case where the cylinder is moving axially with velocity v. Its temperature is T0 at x < 0, and its surface temperature is held at T0 at x < 0. However, at all locations x >0, the surface temperature of the cylinder is set at T1. As the cylinder progresses in the x direction, a thermal boundary layer begins developing near its surface in which the temperature varies rapidly from T1 at the surface to T0 a short distance below the surface. As the distance downstream increases, and heat gets conducted further inward, the thickness of this thermal boundary layer will increase with distance, eventually penetrating all the way to the center of the cylinder.
Do you recognize the similarity between the two situations I described. Suppose that, rather than watching the cylinder go by at velocity v, you travel downstream along with the cylinder at velocity v. From your perspective, the cylinder is stationary, and is experiencing unsteady state heat conduction starting at t = x/v = 0. To you it looks like the heat is penetrating into the cylinder as a function of time, and you see the same temperature profiles and boundary layer thicknesses developing as in the first case where the cylinder is not moving.