Ultramarine blue pigments (in the form of highly concentrated KBr discs) have been examined by transmission infrared spectroscopy. Evidence of entrapment of carbon dioxide in the natural pigment from Afghanistan was indicated by the absorption band at 2340 cm−1 and a low frequency satellite corresponding to the 13CO2 isotopologue. The thermal behavior of natural ultramarine, has been studied by FTIR, UV–vis spectroscopy, and XRD, from 300 K to 1120 K. Measurements show that CO2 and the encapsulated S3- chromophore behave in the same way during the heating experiment, starting to be released only at about 670 K when the apertures of the sodalite β-cages became larger as an effect of temperature.