In materials research, the development of polymer nanocomposites (PN) is rapidly emerging as a multidisciplinary research field with results that could broaden the applications of polymers to many different industries. PN are polymer matrices (thermoplastics, thermosets or elastomers) that have been reinforced with small quantities of nano-sized particles, preferably characterized by high aspect ratios, such as layered silicates and carbon nanotubes. Thermal analysis (TA) is a useful tool to investigate a wide variety of properties of polymers and it can be also applied to PN in order to gain further insight into their structure. This review illustrates the versatile applications of TA methods in the emerging field of polymer nanomaterial research, presenting some examples of applications of differential scanning calorimetry (DSC), thermogravimetric analysis (TGA), dynamic mechanical thermal analysis (DMTA) and thermal mechanical analysis (TMA) for the characterization of nanocomposite materials.