Nietzsche says, "We have to learn to think differently --- in order at last, perhaps very late on, to attain even more: to feel differently." (Daybreak) He is right that difference in thinking, at least in some cases and given sufficient time, will lead to difference in feeling. However, we all know that it is hard to think differently, particularly when the way of thinking involved is imbued with feelings. We can say that in such cases thinking is anchored to feeling. In such cases, thinking is unlikely to change unless feeling changes first.
Although a change in thinking may lead to a change in feeling, feeling does not have to change through a change in thinking. Sometimes feeling changes for other reasons (if we don't know what causes our feeling to change, we may say it just changes). And when feeling changes, thinking is likely to change too.
Here is a personal example: I did not like to travel and usually felt bored (because what I saw did not interest me) and anxious (because I was in a place that I was unfamiliar with) when I was traveling. I traveled simply because my wife enjoyed traveling and I had to accompany her. However, such feelings have changed lately --- I enjoyed my trip to the Silk Road thoroughly and did not feel bored or anxious at all, and I look forward to my next trip (probably South Korea). Why? I don't know. It was not because of the Silk Road, for I had been to places that were no less interesting. In any case, I now think what one can learn about a place by visiting there is essentially different from what one can learn about it by reading books and looking at pictures, while I used to think they were basically the same. This was a change in thinking, but the change in feeling came first.