We report on the strong temperature-dependent thermal expansion, α(D), in CdS quantum dots (QDs) embedded in a glass template. We have performed a systematic study by using the temperature-dependent first-order Raman spectra, in CdS bulk and in dot samples, in order to assess the size dependence of α(D), and where the role of the compressive strain provoked by the glass host matrix on the dot response is discussed. We report the Grüneisen mode parameters and the anharmonic coupling constants for small CdS dots with mean radius R ∼ 2.0 nm. We found that γ parameters change, with respect to the bulk CdS, in a range between 20 and 50%, while the anharmonicity contribution from two-phonon decay channel becomes the most important process to the temperature-shift properties.