Cellulose-derived materials, such as microcellulose and nanocellulose, are sustainable materials with a wide range of applications. Here, through a multi-analytical approach, we investigate the thermal degradation of microfibrillar cellulose filaments (CFs); acidic cellulose nanocrystals (CNC-H), containing sulfate half-ester groups on the surface; and neutralized cellulose nanocrystals (CNC-Na), where the protons are replaced by sodium ions. CFs have a simple degradation mechanism, associated with extensive dehydration, decarboxylation, and decarbonylation, and the highest thermal stability of the three (∼325 °C) despite the abundance of amorphous regions and inhomogeneous fibrous mass that make them structurally and morphologically less homogeneous than high-crystallinity CNCs. CNC-H decompose in a complex way below 200 °C, with large char fractions and evaporation of sulfur compounds at high temperatures, while sodium counterions in CNC-Na can improve the thermal stability up to 300 °C, where the pyrolysis leads to partial rehydration and formation of sodium hydroxide on the surface.