Natural zeolite is a pozzolan active material used as a supplementary cementitious material to improve the final properties of concrete. In this paper, the thermal properties of hardened high-performance concrete containing natural zeolite in the amount varying from 0 to 60 mass % of the cement binder are studied. Using the differential scanning calorimetry and thermogravimetry, the hydration and pozzolanic reaction in the concrete are investigated in dependence on the amount of the added natural zeolite. The investigation is performed in the temperature range from 25 to 1000 °C with a rate 5 °C min−1 in an argon atmosphere. We found out that the temperature and enthalpy of liberation of physically bound water, C-S-H gels, and ettringite decomposition (all occurring from 50 to 300 °C) almost do not change with an amount of the natural zeolite in the studied samples. On the other hand, for portlandite (420-510 °C) and calcite decomposition (580-800 °C), they decrease with an amount of the natural zeolite. Finally, the last modification at temperature about 857 °C was attributed to the crystallization of wollastonite.