I don't own the car anymore, but I had the same problem. Turned out to be the infamous engine wiring harness problem. The wires leading to the temperature sensor (Front and Top of engine) disintegrated and were shorting out about 12" from the sensor..

I run a new pair of wires from the temperate sensor to their junction box on the Left fender wheel well. It fixed it.

NOTE: Could also be a stuck Relay, but my bet is on the wiring harness.

Phil

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'95 E300 Diesel, 264,000 Miles. [Sold it]