Reliable interpretation of the changes occurring in the samples during their heating is ensured by using more than one measurement technique. This is related to the necessity of eliminating the uncertainty resulting from the interpretation of data obtained by two or more single techniques based on the study of several samples analyzed at different times. Accordingly, the purpose of this paper is to briefly characterize thermal analysis techniques coupled to non-thermal techniques, most often spectroscopic or chromatographic. The design of coupled thermogravimetry (TG) with Fourier transform infrared spectroscopy (FTIR), TG with mass spectrometry (MS) and TG with gas chromatography/mass spectrometry (GC/MS) systems and the principles of measurement are discussed. Using medicinal substances as examples, the key importance of coupled techniques in pharmaceutical technology is pointed out. They make it possible not only to know precisely the behavior of medicinal substances during heating and to identify volatile degradation products, but also to determine the mechanism of thermal decomposition. The data obtained make it possible to predict the behavior of medicinal substances during the manufacture of pharmaceutical preparations and determine their shelf life and storage conditions. Additionally, characterized are design solutions that support the interpretation of differential scanning calorimetry (DSC) curves based on observation of the samples during heating or based on simultaneous registration of FTIR spectra and X-ray diffractograms (XRD). This is important because DSC is an inherently non-specific technique. For this reason, individual phase transitions cannot be distinguished from each other based on DSC curves, and supporting techniques are required to interpret them correctly.