In the present study the thermal structure evolution is reviewed for known nonlinear optical borates such as β-BaB₂O₄, LiB₃O₅, CsLiB₆O₁₀, Li₂B₄O₇, K₂Al₂B₂O₇, and α-BiB₃O₆, based on single-crystal and powder X-ray diffraction data collected over wide temperature ranges. Temperature-dependent measurements of further borates are presented for the first time: α-BaB₂O₄ (295-673 K), β-BaB₂O₄ (98-693 K), LiB₃O₅ (98-650 K) and K₂Al₂B₂O₇ (98-348 K). In addition to the established criteria for nonlinear optical (NLO) properties of crystals, here the role of the anisotropy and anharmonicity of the thermal vibrations of atoms is analysed as well as changes in their coordination spheres and the anisotropy of the thermal expansion of the crystal structure. Non-centrosymmetric borates, especially those that have NLO properties, often show distinct anisotropies for each cation in comparison to centrosymmetric borates. All considered NLO borates contain BO₃ triangles, which are the principal cause of the strong anisotropy of the thermal expansion.