<PAGE>   1
           As filed with the Securities and Exchange Commission on May 20, 1996.
                                               Registration No. 333-____________

================================================================================

                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                             ---------------------

                                    FORM S-8
                             REGISTRATION STATEMENT
                                     UNDER
                           THE SECURITIES ACT OF 1933

                             ---------------------

                        THERMADYNE HOLDINGS CORPORATION
             (Exact Name of Registrant as Specified in Its Charter)

<TABLE>
<S>                                                       <C>
                  DELAWARE                                               74-2482571
        (State or Other Jurisdiction                                  (I.R.S. Employer
      of Incorporation or Organization)                             Identification No.)

                                                                     RANDALL E. CURRAN
                                                                   101 SOUTH HANLEY ROAD
            101 SOUTH HANLEY ROAD                                ST. LOUIS, MISSOURI  63105
         ST. LOUIS, MISSOURI  63105                                    (314) 746-2320
(Address, Including Zip Code, of Registrant's             (Name, Address, Including Zip Code, and
        Principal Executive Offices)                      Telephone Number, Including Area Code, of
                                                                     Agent for Service)
</TABLE>

                        1996 EMPLOYEE STOCK OPTION PLAN
                                       &
                    NON-EMPLOYEE DIRECTORS STOCK OPTION PLAN
                            (Full Title of the Plan)

                        CALCULATION OF REGISTRATION FEE

<TABLE>
<CAPTION>
=============================================================================================================================
                                                           Proposed Maximum        Proposed Maximum
        Title of Securities            Amount to be         Offering Price             Aggregate               Amount of
       to be Registered (1)           Registered (1)         Per Share (2)        Offering Price (2)       Registration Fee
-----------------------------------------------------------------------------------------------------------------------------
          <S>                         <C>                       <C>                  <C>                       <C>
           Common Stock,
          $.01 Par Value              350,000 Shares            $21.75               $7,612,500.00             $2,625.00
=============================================================================================================================
</TABLE>


(1)      Shares of common stock, $.01 par value per share ("Common Stock"), of
         Thermadyne Holdings Corporation (the "Company") being registered
         hereby relate to the 1996 Employee Stock Option Plan and the
         Non-Employee Directors Stock Option Plan.  Pursuant to Rule 416(a)
         promulgated under the Securities Act of 1933, as amended (the
         "Securities Act"), there is also being registered an indeterminate
         amount of additional shares of Common Stock as may become issuable as
         a result of stock splits, stock dividends or similar transactions.

(2)      In accordance with section (h)(1) of Rule 457 promulgated under the
         Securities Act, calculated on the basis of the average of the high and
         low price of the Common Stock as reported on the NASDAQ on May 15,
         1996.

================================================================================
<PAGE>   2
                                    PART II

              INFORMATION REQUIRED IN THE REGISTRATION STATEMENT


ITEM 3.  INCORPORATION OF DOCUMENTS BY REFERENCE.

         The following documents are incorporated by reference in this
Registration Statement:

         (a)     The Company's Annual Report on Form 10-K for the year ended
December 31, 1995;

         (b)     All other reports filed by the Company pursuant to Section
13(a) or 15(d) of the Exchange Act since the end of the fiscal year covered by
the Annual Report on Form 10-K referred to in (a) above; and

         (c)     The description of the Company's Common Stock, which is
contained in the Company's Registration Statement on Form 10/A, Amendment No. 2
(File No. 0-23378) filed under Section 12(g) of the Exchange Act on April 28,
1994, including any amendments or reports filed for the purpose of updating
such description.

         All documents subsequently filed by the Company pursuant to Sections
13(a), 13(c), 14 and 15(d) of the Exchange Act, prior to the filing of a
post-effective amendment to this Registration Statement that indicates that all
of the shares of Common Stock offered have been sold or which deregisters all
of such shares then remaining unsold, shall be deemed to be incorporated by
reference in this Registration Statement and to be a part hereof from the date
of filing of such documents.  Any statement incorporated or deemed to be
incorporated by reference herein shall be deemed to be modified or superseded
for purposes of this Registration Statement to the extent that a statement
contained herein or in any other subsequently filed document modifies or
supersedes such statement.  Any such statement so modified or superseded shall
not be deemed, except as so modified or superseded, to constitute a part of
this Registration Statement.


ITEM 4.  DESCRIPTION OF SECURITIES.

         Not applicable.





                                     II-1
<PAGE>   3





ITEM 5.  INTERESTS OF NAMED EXPERTS AND COUNSEL.

         Not applicable.


ITEM 6.  INDEMNIFICATION OF DIRECTORS AND OFFICERS.

         The Company is incorporated in Delaware.  Under Section 145 of the
General Corporation Law of the State of Delaware, a Delaware corporation has
the power, under specified circumstances and subject to certain limitations, to
indemnify its directors, officers, employees and agents in connection with
actions, suits or proceedings brought against them by a third party or in the
right of the corporation, by reason of the fact that they were or are such
directors, officers, employees or agents, against liabilities and expenses
incurred in any such action, suit, or proceeding.  Article Sixth of the
Restated Certificate of Incorporation of the Company provides for mandatory
indemnification of directors and officers to the fullest extent permitted by
the General Corporation Law of the State of Delaware.

         Insofar as indemnification for liabilities arising under the
Securities Act may be permitted to directors, officers and controlling persons
of the Company pursuant to the foregoing provisions, or otherwise, the Company
has been advised that in the opinion of the Securities and Exchange Commission
such indemnification is against public policy as expressed in the Securities
Act and is, therefore, unenforceable.  In the event that a claim for
indemnification against such liabilities (other than the payment by the Company
of expenses incurred or paid by a director, officer or controlling person
thereof in the successful defense of any action, suit or proceeding) is
asserted by such director, officer or controlling person in connection with the
securities being registered pursuant to this Registration Statement, the
Company will, unless in the opinion of counsel the matter has been settled by
controlling precedent, submit to a court of appropriate jurisdiction the
question whether such indemnification by it is against public policy as
expressed in the Securities Act and will be governed by the final adjudication
of such issue.


ITEM 7.  EXEMPTION FROM REGISTRATION CLAIMED.

         Not applicable.


ITEM 8.  EXHIBITS.

4.1      Restated Certificate of Incorporation of Thermadyne Holdings
         Corporation.  (Incorporated by reference to Exhibit 3.1 of the
         Company's Registration Statement on Form 10 (File No. 0-23378) as
         filed with the Securities and Exchange Commission on February 7,
         1994.)





                                     II-2
<PAGE>   4





4.2      Amended and Restated Bylaws of Thermadyne Holdings Corporation.
         (Incorporated by reference to Exhibit 3.2 to the Company's
         Registration Statement on Form 10 (File No. 0-23378) as filed with the
         Securities and Exchange Commission on February 7, 1994.)

4.3      1996 Employee Stock Option Plan.*

4.4      Non-Employee Directors Stock Option Plan.*

5.       Opinion of Weil, Gotshal & Manges LLP.*

23.1     Consent of Ernst & Young LLP.*

23.2     Consent of Weil, Gotshal & Manges LLP (included in Exhibit 5).

24.      Power of Attorney (see pages II-5 and II-6 of this Registration
         Statement).

_______________________________

*        Filed herewith.


ITEM 9.  UNDERTAKINGS.

         (a)     The undersigned hereby undertakes:

                 (1)      To file, during any period in which offers or sales
                          are being made, a post-effective amendment to this
                          Registration Statement to include any material
                          information with respect to the plan of distribution
                          not previously disclosed in this Registration
                          Statement or any material change to such information
                          in this Registration Statement.

                 (2)      That, for the purpose of determining any liability
                          under the Securities Act, each such post- effective
                          amendment shall be deemed to be a new registration
                          statement relating to the securities offered therein,
                          and the offering of such securities at that time
                          shall be deemed to be the initial bona fide offering
                          thereof.

                 (3)      To remove from registration by means of a
                          post-effective amendment any of the securities being
                          registered which remain unsold at the termination of
                          the offering.





                                     II-3
<PAGE>   5





         (b)     The undersigned hereby undertakes that, for purposes of
determining any liability under the Securities Act of 1933, each filing of the
Company's annual report pursuant to Section 13(a) or 15(d) of the Exchange Act
that is incorporated by reference in this Registration Statement shall be
deemed to be a new registration statement relating to the securities offered
therein, and the offering of such securities at that time shall be deemed to be
the initial bona fide offering thereof.

         (c)     See Item 6.


          [The remainder of this page is intentionally left blank.]





                                     II-4
<PAGE>   6





                                   SIGNATURES

         The Registrant.  Pursuant to the requirements of the Securities Act of
1933, the Registrant certifies that it has reasonable grounds to believe that
it meets all of the requirements for filing on Form S-8 and has duly caused
this Registration Statement to be signed on its behalf by the undersigned,
thereunto duly authorized, in the City of Clayton, State of Missouri, on this
20th day of May, 1996.

                                        THERMADYNE HOLDINGS CORPORATION



                                        By:  /s/ JAMES H. TATE                
                                             ---------------------------------
                                             James H. Tate
                                             Senior Vice President and 
                                             Chief Financial Officer


         Each person whose signature to this Registration Statement appears
below hereby appoints James H. Tate as his attorney-in-fact to sign on his
behalf individually and in the capacity stated below and to file all
post-effective amendments to this Registration Statement, which amendments may
make such changes in and additions to this Registration Statement as such
attorney-in-fact may deem necessary or appropriate.

         Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed by the following persons in the
capacities and on the dates indicated.

<TABLE>
<CAPTION>
                    Signature                                      Title                          Date
              <S>                                <C>                                        <C>

              /s/ RANDALL E. CURRAN              Chairman of the Board of Directors,        May 20, 1996
 ----------------------------------------------  President and Chief Executive Officer                  
                Randall E. Curran                (Principal Executive Officer of the   
                                                 Registrant)                           
                                                                                       
                /s/ JAMES H. TATE                Senior Vice President and Chief            May 20, 1996
 ----------------------------------------------  Financial Officer (Principal Financial                 
                  James H. Tate                  and Accounting Officer of the          
                                                 Registrant); Director                  
                                                                                        

              /s/ RICHARD L. BERGER                              Director                   May 20, 1996
 ----------------------------------------------                                                         
                Richard L. Berger



              /s/ FLETCHER L. BYROM                              Director                   May 20, 1996
 ----------------------------------------------                                                         
                Fletcher L. Byrom
</TABLE>





                                     II-5
<PAGE>   7





<TABLE>
<CAPTION>
                    Signature                                      Title                          Date
              <S>                                                <C>                        <C>
               /s/ HENRY L. DRUKER                               Director                   May 20, 1996
 ----------------------------------------------                                                         
                 Henry L. Druker


               /s/ TALTON R. EMBRY                               Director                   May 20, 1996
 ----------------------------------------------                                                         
                 Talton R. Embry


              /s/ CHARLES F. MORAN                               Director                   May 20, 1996
 ----------------------------------------------                                                         
                Charles F. Moran
</TABLE>





                                     II-6
<PAGE>   8





                                 EXHIBIT INDEX

<TABLE>
<CAPTION>
                                                                                                             Sequentially
Exhibit                                                                                                        Numbered
  No.            Description                                                                                     Page    
-------          -----------                                                                                 ------------
<S>              <C>
4.1              Restated Certificate of Incorporation of Thermadyne Holdings Corporation.
                 (Incorporated by reference to Exhibit 3.1 of the Company's Registration Statement on
                 Form 10 (File No. 0-23378) as filed with the Securities and Exchange Commission on
                 February 7, 1994.)

4.2              Amended and Restated Bylaws of Thermadyne Holdings Corporation.  (Incorporated by
                 reference to Exhibit 3.2 to the Company's Registration Statement on Form 10 (File No.
                 0-23378) as filed with the Securities and Exchange Commission on February 7, 1994.)

4.3              1996 Employee Stock Option Plan.

4.4              Non-Employee Directors Stock Option Plan.

5.               Opinion of Weil, Gotshal & Manges LLP.

23.1             Consent of Ernst & Young LLP.

23.2             Consent of Weil, Gotshal & Manges LLP (included in Exhibit 5).

24.              Power of Attorney (see pages II-5 and II-6 of this Registration Statement).
</TABLE>
[{"type": "S-8", "sequence": "1", "description": "FORM S-8", "secsgml_size_bytes": 17188}]
1
           As filed with the Securities and Exchange Commission on May 20, 1996.
                                               Registration No. 333-____________

================================================================================

                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                             ---------------------

                                    FORM S-8
                             REGISTRATION STATEMENT
                                     UNDER
                           THE SECURITIES ACT OF 1933

                             ---------------------

                        THERMADYNE HOLDINGS CORPORATION
             (Exact Name of Registrant as Specified in Its Charter)
DELAWARE                                               74-2482571
        (State or Other Jurisdiction                                  (I.R.S. Employer
      of Incorporation or Organization)                             Identification No.)

                                                                     RANDALL E. CURRAN
                                                                   101 SOUTH HANLEY ROAD
            101 SOUTH HANLEY ROAD                                ST. LOUIS, MISSOURI  63105
         ST. LOUIS, MISSOURI  63105                                    (314) 746-2320
(Address, Including Zip Code, of Registrant's             (Name, Address, Including Zip Code, and
        Principal Executive Offices)                      Telephone Number, Including Area Code, of
                                                                     Agent for Service)
1996 EMPLOYEE STOCK OPTION PLAN
                                       &
                    NON-EMPLOYEE DIRECTORS STOCK OPTION PLAN
                            (Full Title of the Plan)

                        CALCULATION OF REGISTRATION FEE
=============================================================================================================================
                                                           Proposed Maximum        Proposed Maximum
        Title of Securities            Amount to be         Offering Price             Aggregate               Amount of
       to be Registered (1)           Registered (1)         Per Share (2)        Offering Price (2)       Registration Fee
-----------------------------------------------------------------------------------------------------------------------------
Common Stock,
          $.01 Par Value              350,000 Shares            $21.75               $7,612,500.00             $2,625.00
=============================================================================================================================
(1)      Shares of common stock, $.01 par value per share ("Common Stock"), of
         Thermadyne Holdings Corporation (the "Company") being registered
         hereby relate to the 1996 Employee Stock Option Plan and the
         Non-Employee Directors Stock Option Plan.  Pursuant to Rule 416(a)
         promulgated under the Securities Act of 1933, as amended (the
         "Securities Act"), there is also being registered an indeterminate
         amount of additional shares of Common Stock as may become issuable as
         a result of stock splits, stock dividends or similar transactions.

(2)      In accordance with section (h)(1) of Rule 457 promulgated under the
         Securities Act, calculated on the basis of the average of the high and
         low price of the Common Stock as reported on the NASDAQ on May 15,
         1996.

================================================================================
2
                                    PART II

              INFORMATION REQUIRED IN THE REGISTRATION STATEMENT

ITEM 3.  INCORPORATION OF DOCUMENTS BY REFERENCE.

         The following documents are incorporated by reference in this
Registration Statement:

         (a)     The Company's Annual Report on Form 10-K for the year ended
December 31, 1995;

         (b)     All other reports filed by the Company pursuant to Section
13(a) or 15(d) of the Exchange Act since the end of the fiscal year covered by
the Annual Report on Form 10-K referred to in (a) above; and

         (c)     The description of the Company's Common Stock, which is
contained in the Company's Registration Statement on Form 10/A, Amendment No. 2
(File No. 0-23378) filed under Section 12(g) of the Exchange Act on April 28,
1994, including any amendments or reports filed for the purpose of updating
such description.

         All documents subsequently filed by the Company pursuant to Sections
13(a), 13(c), 14 and 15(d) of the Exchange Act, prior to the filing of a
post-effective amendment to this Registration Statement that indicates that all
of the shares of Common Stock offered have been sold or which deregisters all
of such shares then remaining unsold, shall be deemed to be incorporated by
reference in this Registration Statement and to be a part hereof from the date
of filing of such documents.  Any statement incorporated or deemed to be
incorporated by reference herein shall be deemed to be modified or superseded
for purposes of this Registration Statement to the extent that a statement
contained herein or in any other subsequently filed document modifies or
supersedes such statement.  Any such statement so modified or superseded shall
not be deemed, except as so modified or superseded, to constitute a part of
this Registration Statement.

ITEM 4.  DESCRIPTION OF SECURITIES.

         Not applicable.

                                     II-1
3

ITEM 5.  INTERESTS OF NAMED EXPERTS AND COUNSEL.

         Not applicable.

ITEM 6.  INDEMNIFICATION OF DIRECTORS AND OFFICERS.

         The Company is incorporated in Delaware.  Under Section 145 of the
General Corporation Law of the State of Delaware, a Delaware corporation has
the power, under specified circumstances and subject to certain limitations, to
indemnify its directors, officers, employees and agents in connection with
actions, suits or proceedings brought against them by a third party or in the
right of the corporation, by reason of the fact that they were or are such
directors, officers, employees or agents, against liabilities and expenses
incurred in any such action, suit, or proceeding.  Article Sixth of the
Restated Certificate of Incorporation of the Company provides for mandatory
indemnification of directors and officers to the fullest extent permitted by
the General Corporation Law of the State of Delaware.

         Insofar as indemnification for liabilities arising under the
Securities Act may be permitted to directors, officers and controlling persons
of the Company pursuant to the foregoing provisions, or otherwise, the Company
has been advised that in the opinion of the Securities and Exchange Commission
such indemnification is against public policy as expressed in the Securities
Act and is, therefore, unenforceable.  In the event that a claim for
indemnification against such liabilities (other than the payment by the Company
of expenses incurred or paid by a director, officer or controlling person
thereof in the successful defense of any action, suit or proceeding) is
asserted by such director, officer or controlling person in connection with the
securities being registered pursuant to this Registration Statement, the
Company will, unless in the opinion of counsel the matter has been settled by
controlling precedent, submit to a court of appropriate jurisdiction the
question whether such indemnification by it is against public policy as
expressed in the Securities Act and will be governed by the final adjudication
of such issue.

ITEM 7.  EXEMPTION FROM REGISTRATION CLAIMED.

         Not applicable.

ITEM 8.  EXHIBITS.

4.1      Restated Certificate of Incorporation of Thermadyne Holdings
         Corporation.  (Incorporated by reference to Exhibit 3.1 of the
         Company's Registration Statement on Form 10 (File No. 0-23378) as
         filed with the Securities and Exchange Commission on February 7,
         1994.)

                                     II-2
4

4.2      Amended and Restated Bylaws of Thermadyne Holdings Corporation.
         (Incorporated by reference to Exhibit 3.2 to the Company's
         Registration Statement on Form 10 (File No. 0-23378) as filed with the
         Securities and Exchange Commission on February 7, 1994.)

4.3      1996 Employee Stock Option Plan.*

4.4      Non-Employee Directors Stock Option Plan.*

5.       Opinion of Weil, Gotshal & Manges LLP.*

23.1     Consent of Ernst & Young LLP.*

23.2     Consent of Weil, Gotshal & Manges LLP (included in Exhibit 5).

24.      Power of Attorney (see pages II-5 and II-6 of this Registration
         Statement).

_______________________________

*        Filed herewith.

ITEM 9.  UNDERTAKINGS.

         (a)     The undersigned hereby undertakes:

                 (1)      To file, during any period in which offers or sales
                          are being made, a post-effective amendment to this
                          Registration Statement to include any material
                          information with respect to the plan of distribution
                          not previously disclosed in this Registration
                          Statement or any material change to such information
                          in this Registration Statement.

                 (2)      That, for the purpose of determining any liability
                          under the Securities Act, each such post- effective
                          amendment shall be deemed to be a new registration
                          statement relating to the securities offered therein,
                          and the offering of such securities at that time
                          shall be deemed to be the initial bona fide offering
                          thereof.

                 (3)      To remove from registration by means of a
                          post-effective amendment any of the securities being
                          registered which remain unsold at the termination of
                          the offering.

                                     II-3
5

         (b)     The undersigned hereby undertakes that, for purposes of
determining any liability under the Securities Act of 1933, each filing of the
Company's annual report pursuant to Section 13(a) or 15(d) of the Exchange Act
that is incorporated by reference in this Registration Statement shall be
deemed to be a new registration statement relating to the securities offered
therein, and the offering of such securities at that time shall be deemed to be
the initial bona fide offering thereof.

         (c)     See Item 6.

          [The remainder of this page is intentionally left blank.]

                                     II-4
6

                                   SIGNATURES

         The Registrant.  Pursuant to the requirements of the Securities Act of
1933, the Registrant certifies that it has reasonable grounds to believe that
it meets all of the requirements for filing on Form S-8 and has duly caused
this Registration Statement to be signed on its behalf by the undersigned,
thereunto duly authorized, in the City of Clayton, State of Missouri, on this
20th day of May, 1996.

                                        THERMADYNE HOLDINGS CORPORATION

                                        By:  /s/ JAMES H. TATE                
                                             ---------------------------------
                                             James H. Tate
                                             Senior Vice President and 
                                             Chief Financial Officer

         Each person whose signature to this Registration Statement appears
below hereby appoints James H. Tate as his attorney-in-fact to sign on his
behalf individually and in the capacity stated below and to file all
post-effective amendments to this Registration Statement, which amendments may
make such changes in and additions to this Registration Statement as such
attorney-in-fact may deem necessary or appropriate.

         Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed by the following persons in the
capacities and on the dates indicated.
Signature                                      Title                          Date
/s/ RANDALL E. CURRAN              Chairman of the Board of Directors,        May 20, 1996
 ----------------------------------------------  President and Chief Executive Officer                  
                Randall E. Curran                (Principal Executive Officer of the   
                                                 Registrant)                           
                                                                                       
                /s/ JAMES H. TATE                Senior Vice President and Chief            May 20, 1996
 ----------------------------------------------  Financial Officer (Principal Financial                 
                  James H. Tate                  and Accounting Officer of the          
                                                 Registrant); Director                  
                                                                                        

              /s/ RICHARD L. BERGER                              Director                   May 20, 1996
 ----------------------------------------------                                                         
                Richard L. Berger

              /s/ FLETCHER L. BYROM                              Director                   May 20, 1996
 ----------------------------------------------                                                         
                Fletcher L. Byrom
II-5
7
Signature                                      Title                          Date
/s/ HENRY L. DRUKER                               Director                   May 20, 1996
 ----------------------------------------------                                                         
                 Henry L. Druker

               /s/ TALTON R. EMBRY                               Director                   May 20, 1996
 ----------------------------------------------                                                         
                 Talton R. Embry

              /s/ CHARLES F. MORAN                               Director                   May 20, 1996
 ----------------------------------------------                                                         
                Charles F. Moran
II-6
8

                                 EXHIBIT INDEX
Sequentially
Exhibit                                                                                                        Numbered
  No.            Description                                                                                     Page    
-------          -----------                                                                                 ------------
4.1              Restated Certificate of Incorporation of Thermadyne Holdings Corporation.
                 (Incorporated by reference to Exhibit 3.1 of the Company's Registration Statement on
                 Form 10 (File No. 0-23378) as filed with the Securities and Exchange Commission on
                 February 7, 1994.)

4.2              Amended and Restated Bylaws of Thermadyne Holdings Corporation.  (Incorporated by
                 reference to Exhibit 3.2 to the Company's Registration Statement on Form 10 (File No.
                 0-23378) as filed with the Securities and Exchange Commission on February 7, 1994.)

4.3              1996 Employee Stock Option Plan.

4.4              Non-Employee Directors Stock Option Plan.

5.               Opinion of Weil, Gotshal & Manges LLP.

23.1             Consent of Ernst & Young LLP.

23.2             Consent of Weil, Gotshal & Manges LLP (included in Exhibit 5).

24.              Power of Attorney (see pages II-5 and II-6 of this Registration Statement).