Given an untrimmed video, temporal sentence grounding (TSG) aims to locate a target moment semantically according to a sentence query. Although previous respectable works have made decent success, they only focus on high-level visual features extracted from the consecutive decoded frames and fail to handle the compressed videos for query modelling, suffering from insufficient representation capability and significant computational complexity during training and testing. In this paper, we pose a new setting, compressed-domain TSG, which directly utilizes compressed videos rather than fully-decompressed frames as the visual input. To handle the raw video bit-stream input, we propose a novel Three-branch Compressed-domain Spatial-temporal Fusion (TCSF) framework, which extracts and aggregates three kinds of low-level visual features (I-frame, motion vector and residual features) for effective and efficient grounding. Particularly, instead of encoding the whole decoded frames like previous works, we capture the appearance representation by only learning the I-frame feature to reduce delay or latency. Besides, we explore the motion information not only by learning the motion vector feature, but also by exploring the relations of neighboring frames via the residual feature. In this way, a three-branch spatial-temporal attention layer with an adaptive motion-appearance fusion module is further designed to extract and aggregate both appearance and motion information for the final grounding. Experiments on three challenging datasets shows that our TCSF achieves better performance than other state-of-the-art methods with lower complexity.