Advantages and comparison of thermal analysis (TA) and Knudsen effusion mass spectrometry (KEMS) were discussed for the investigation of high temperature behavior of oxide systems such as ceramics and glass-forming melts. This brief overview proposes filling the gap by considering various approaches of interaction between the TA and KEMS data. The reliability of experimental data found using both methods is critically analyzed for thermodynamic values of the lanthanoid hafnates obtained by DSC and KEMS and mass losses of the samples in the Bi2O3–P2O5–SiO2 system found by thermogravimetry and KEMS. Recent achievements in experimental installations for these methods were also noted.