I changed it to

#include <pthread.h>

void *thread(void *arg) {
    char *msg = (char*)arg;
    printf("thread: %s\n", msg);
    free(msg);
    return NULL;
}

#include "EXTERN.h"
#include "perl.h"
#include "XSUB.h"
#include "ppport.h"

MODULE = My    PACKAGE = My

void
test_thread(char *msg)
    PPCODE:
        char *thread_arg = malloc((strlen(msg)+1)*sizeof(char));
        strcpy(thread_arg, msg);
        pthread_t tid;
        pthread_create(&tid, NULL, thread, (void*)thread_arg);
        
        void *rv;
        pthread_join(tid, &rv);
[download]

And the problem still here: crash on each run