The volatile concentrations and thermal characteristics of hydrothermally altered rhyolitic deposits erupted under Icelandic glaciers have been studied by combined differential scanning calorimetry–thermogravimetric analysis–mass spectrometry (DSC–TGA–MS) and X-ray diffraction (XRD). Samples range from pristine obsidians to strongly perlitized and altered fragmental deposits. Four types of samples are determined to have notable differences in total volatile concentrations: obsidians (0.44–3.04 wt%), perlites (2.15–8.15 wt%), obsidian-breccias (8.49–9.41 wt%) and hyaloclastites (3.23–7.78 wt%). DSC–TGA–MS and textural data indicate that the volatile concentration of the perlitic samples increases as the amount of perlitization increases. XRD data show that the volatile-rich samples are rich in the low-temperature zeolite minerals heulandite and mordenite. The temperature at which volatile exsolution occurs is shown to decrease as the volatile concentration increases, reflecting the speciation of water as well as zeolite mineral growth. Supplementary material: Detailed grain-size fraction analysis data in table and histogram form are available at http://www.geolsoc.org.uk/SUP18366 .