The interplay of optics, dynamics and transport is crucial for the design of novel optoelectronic devices, such as photodetectors and solar cells. In this context, transition metal dichalcogenides (TMDs) have received much attention. Here, strongly bound excitons dominate optical excitation, carrier dynamics and diffusion processes. While the first two have been intensively studied, there is a lack of fundamental understanding of non-equilibrium phenomena associated with exciton transport that is of central importance e.g. for high efficiency light harvesting. In this work, we provide microscopic insights into the interplay of exciton propagation and many-particle interactions in TMDs. Based on a fully quantum mechanical approach and in excellent agreement with photoluminescence measurements, we show that Auger recombination and emission of hot phonons act as a heating mechanism giving rise to strong spatial gradients in excitonic temperature. The resulting thermal drift leads to an unconventional exciton diffusion characterized by spatial exciton halos.