Define make variable at rule execution time

In your example, the TMP variable is set (and the temporary directory created) whenever the rules for out.tar are evaluated. In order to create the directory only when out.tar is actually fired, you need to move the directory creation down into the steps:

out.tar : 
    $(eval TMP := $(shell mktemp -d))
    @echo hi $(TMP)/hi.txt
    tar -C $(TMP) cf $@ .
    rm -rf $(TMP)

The eval function evaluates a string as if it had been typed into the makefile manually. In this case, it sets the TMP variable to the result of the shell function call.

edit (in response to comments):

To create a unique variable, you could do the following:

out.tar : 
    $(eval $@_TMP := $(shell mktemp -d))
    @echo hi $($@_TMP)/hi.txt
    tar -C $($@_TMP) cf $@ .
    rm -rf $($@_TMP)

This would prepend the name of the target (out.tar, in this case) to the variable, producing a variable with the name out.tar_TMP. Hopefully, that is enough to prevent conflicts.

A relatively easy way of doing this is to write the entire sequence as a shell script.

out.tar:
   set -e ;\
   TMP=$$(mktemp -d) ;\
   echo hi $$TMP/hi.txt ;\
   tar -C $$TMP cf $@ . ;\
   rm -rf $$TMP ;\

I have consolidated some related tips here: https://stackoverflow.com/a/29085684/86967

Another possibility is to use separate lines to set up Make variables when a rule fires.

For example, here is a makefile with two rules. If a rule fires, it creates a temp dir and sets TMP to the temp dir name.

PHONY = ruleA ruleB display

all: ruleA

ruleA: TMP = $(shell mktemp -d testruleA_XXXX)
ruleA: display

ruleB: TMP = $(shell mktemp -d testruleB_XXXX)
ruleB: display

display:
    echo ${TMP}

Running the code produces the expected result:

$ ls
Makefile
$ make ruleB
echo testruleB_Y4Ow
testruleB_Y4Ow
$ ls
Makefile  testruleB_Y4Ow