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 (similar to 325 degrees 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 degrees 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 degrees C, where the pyrolysis leads to partial rehydration and formation of sodium hydroxide on the surface.