Thermally expandable graphites are becoming increasingly popular as intumescent fire retardants for polymeric systems due to their excellent thermal and barrier properties. Therefore, it is important to understand their thermal degradation pathways and monitor products for any that may be toxic or affect the stability of the polymer. Here, two commercially available thermally expandable graphites with different intercalated acids have been analyzed using thermal volatilisation analysis—sub-ambient distillation (TVA-SAD), mass spectrometry (MS) and Fourier transform infrared spectroscopy (FTIR). Results confirm the presence of three principal thermal events relating to the expansion of graphite nitrate and graphite bisulfate. Isothermal analyses provide a deeper understanding of the processes and decomposition products released from each stage. For both graphites, desorption of migrating gases and volatilisation of water occur in the first instance. Graphite bisulfate releases CO2, CO, and water upon expansion and releases a significant volume of SO2 subsequently. Graphite nitrate expansion proceeds with the release of NO2, NO, CO and water. Additionally, the release of non-condensable species and carbonyl-derived fragments suggests that the exfoliation process occurs by multiple different degradation processes. For expansion to occur, sufficient pressure must be produced in the graphite interlayer spacing; this is achieved by volatilisation of intercalated species and by the decomposition of functional groups on the outer edges and basal planes created from the oxidation of graphite.