The synthesis of self-assembled composite materials via a one-pot technique offers a promising strategy for designing modernized electrodes for use in solid oxide electrochemical cells based on both oxygen-ionic and proton-conducting electrolytes. Within the present work, a BaCe0.5Fe0.5O3–δ composite (extensively investigated in the literature as a triple conductor) was prepared as both dense and porous ceramics. The thermal properties of these materials were subsequently characterized via a range of complimentary techniques, including high-temperature X-ray diffraction, thermogravimetry, and dilatometry analyses. The employed methods allow for the refinement of the compositions for both Ce- and Fe-enriched phases, as well as the determination of the thermal expansion behaviors of both the basic components and the composite as a whole. The experimental results demonstrate that the Ce- and Fe-based phases exhibit markedly disparate thermomechanical responses, which represents a significant limitation for the joint application of BaCe0.5Fe0.5O3–δ-derived electrodes with a range of electrolyte representatives. While the thermomechanical discrepancy can be reduced for the porous state of the electrodes, greater attention should be paid to the microstructural integrity of such electrodes and the quality of the electrolyte/electrode interface under long-term and cycling operating conditions. Therefore, this work provides complementary information on the various functional properties of dual-phase BaCe0.5Fe0.5O3–δ composites.