It is possible for some special polymers that has potential reactivity within the polymer main chain. For example, poly(phenylene sulfide) (PPS) can lightly cross-link and branching to increase the molecular weigh upon heat treatment. If you do extreme heat treatment, you can approach thermosetting materials, though it may not be useful. A more obvious thermoplastic/thermosetting cross-over molecules can be found in the new class of addition polymerizable phenolic materials called polybenzoxazine. There are many precursors in this class of material, including monomer, main-chain type reactive polymer, side-chain type reactive polymer, and telechelic reactive oligomer and others. It is this main-chain and side chain type reactive polymers that can be processed like a thermoplastic (soluble in solvents) and melts. Upon further heat treatment, the reactive group in the main chain or side chain cross-links to form thermosetting polymers. Thus, you can cast a film like a thermoplastic film and cross link to make thermosetting films. No other class of polymers can made self-supporting thermosetting films as strong as this.
Polyethylene can be converted to a cross-linked (thermoset) polymer in several ways including electron beam treatment and reactive cross-linking using peroxides during processing of the polymer. Some applications of cross-linked polyethylene are for piping and cable sheathing.
Many recent routes deals with this topic, You can have a look to Diels-Alder reactions applied to polymers or the use of strong ionic complexes. Basically, the material behave as a crosslinked thermoset at low temperature and as a thermoplastic at higher temperature. The synthesis is not easy but it could works,
We can convert thermoplastic to thermosetting but not vice versa. Once crosslinked into thermosetting, it can't change due to its rigid structure. However, thermoplastic materials with side chains or reactive groups like epoxy, anhydride, hydroxyl, or amine can undergo curing to form a thermosetting network. High-energy electron beam or gamma radiation can generate free radicals in thermoplastics (e.g., polyethylene, PTFE), leading to crosslinking.