We report anisotropic thermal expansion of the parent, AEFe2As2 (AE = Ba, Sr, and Ca), compounds. Above the structural/antiferromagnetic phase transition anisotropy of the thermal expansion coefficients is observed, with the coefficient along the a-axis being significantly smaller than the coefficient for the c-axis. The high temperature (200 K ≤ T ≤ 300 K) coefficients themselves have similar values for the compounds studied. The sharp anomalies associated with the structural/antiferromagnetic phase transitions are clearly seen in the thermal expansion measurements. For all three pure compounds, the ‘average’ a-value increases and the c-lattice parameter decreases on warming through the transition, with the smallest change in the lattice parameters observed for SrFe2As2. The data are in general agreement with the literature data from X-ray and neutron diffraction experiments.