In this work the thermoanalytical methods used for the characterization of nanomaterials and nanocomposites are presented. They include thermogravimetry coupled with infrared spectroscopy (TG-FTIR), mass spectrometry (TG-MS) and gas chromathography (TG-GC/MS) which are used to ascertain the influence of nanoparticles on the thermal stability and degradation mechanism of polymer nanocomposites. Other hyphenated techniques - pyrolysis coupled with gas chromatography and/or mass spectrometry (Py-GC, Py-GC/MS), as well as a relatively new technique based on a combination of scanning thermal microscopy and localized thermal analysis known as micro-thermal analysis, can provide valuable data concerning preparation, characterization and decomposition behavior of a wide range of nanomaterials and nanocomposites. Thermoanalytical methods help to determine the thermal properties of nanoparticles and to understand the influence of nanomaterials on polymer phase transitions, thermally induced chemical reactions, as well as thermal transport properties in advanced polymer composites.