There has never been a proof, but the evidence for
its validity comes from the fact that every
realistic model of computation, yet discovered,
has been shown to be equivalent.
You're right. The thesis is that nothing in the real world can compute a function that a Turing machine cannot, which is not proven (and it's not clear how it even could be proven). What is proven formally is the equivalence of several different formulations.
From http://mathworld.wolfram.com/Church-TuringThesis.html
http://people.seas.harvard.edu/~salil/cs121/fall12/lecnotes/...