Cotton cellulose with different % NaOH treatments (mercerized), graft copolymers of cellulose prepared with vinyl acetate (VA) and methyl acrylate (MA) and Ce (IV) ions as initiator, and some blends of cellulose–copolymer PVA–PMA were submitted to differential scanning calorimetry (DSC) analysis in nitrogen atmosphere. Two aspects were considered: (a) moisture loss of celluloses with different % NaOH treatments, which showed differences attributed to structural changes in the amorphous region of cellulose-I and cellulose-II; (b) thermal degradation analysis of celluloses, their copolymers, and their blends. Experimental results show that thermal stability of celluloses decreases when % NaOH in mercerization increases. For cellulosic vinylic copolymers, the thermal stability increases with the grafting frequency (GF). The blends of cellulose–copolymer PVA–PMA were found to have lower thermal stability than the cellulosic copolymers and the cellulose alone, which was attributed to the acetic acid eliminated in the thermal decomposition of PVA–PMA. The present results seem to be in agreement with the thermal degradation mechanism of cellulose proposed by Patel et al. and provide useful confirmation that the free OH group content is a very important factor in the thermal stability of cellulose.