Thompson made the endorsement Friday on his Facebook page, saying he believes "James Lankford is the transformative leader we need."
Thompson finished third in the seven-man GOP primary. He was one of the early favorites and raised nearly $1 million.
But Lankford, the former director of the Falls Creek Christian summer camp, relied heavily on social media to target evangelicals and had endorsements from former U.S. Rep. J.C. Watts and former Arkansas Gov. Mike Huckabee.
Former state Rep. Kevin Calvey will face Lankford to determine the Republican nominee in the race to replace outgoing U.S. Rep. Mary Fallin, who is running for governor.