Cross distribution safe answer (including windows minGW?)
grep -h "[[:alpha:]]*th[[:alpha:]]*" 'filename' | tr ' ' '\n' | grep -h "[[:alpha:]]*th[[:alpha:]]*"
If you're using older versions of grep (like 2.4.2) which do not include the -o option, then use the above. Else use the simpler to maintain version below.
Linux cross distribution safe answer
grep -oh "[[:alpha:]]*th[[:alpha:]]*" 'filename'
To summarize: -oh outputs the regular expression matches to the file content (and not its filename), just like how you would expect a regular expression to work in vim/etc... What word or regular expression you would be searching for then, is up to you! As long as you remain with POSIX and not perl syntax (refer below)
-o Print each match, but only the match, not the entire line.
-h Never print filename headers (i.e. filenames) with output lines.
-w The expression is searched for as a word (as if surrounded by
`[[:<:]]' and `[[:>:]]';
The reason why the original answer does not work for everyone
The usage of \w varies from platform to platform, as it's an extended "perl" syntax. As such, those grep installations that are limited to work with POSIX character classes use [[:alpha:]] and not its perl equivalent of \w. See the Wikipedia page on regular expression for more
Ultimately, the POSIX answer above will be a lot more reliable regardless of platform (being the original) for grep
As for support of grep without -o option, the first grep outputs the relevant lines, the tr splits the spaces to new lines, the final grep filters only for the respective lines.
(PS: I know most platforms by now would have been patched for \w.... but there are always those that lag behind)
Credit for the "-o" workaround from @AdamRosenfield answer