Head direction (HD) cells, which fire persistently when an animal's head is pointed in a particular direction, are widely thought to underlie an animal's sense of spatial orientation and have been identified in several limbic brain regions. Robust HD cell firing is observed throughout the thalamo‐parahippocampal system, although recent studies report that parahippocampal HD cells exhibit distinct firing properties, including conjunctive aspects with other spatial parameters, which suggest they play a specialized role in spatial processing. Few studies, however, have quantified these apparent differences. Here, we performed a comparative assessment of HD cell firing characteristics across the anterior dorsal thalamus (ADN), postsubiculum (PoS), parasubiculum (PaS), medial entorhinal (MEC), and postrhinal (POR) cortices. We report that HD cells with a high degree of directional specificity were observed in all five brain regions, but ADN HD cells display greater sharpness and stability in their preferred directions, and greater anticipation of future headings compared to parahippocampal regions. Additional analysis indicated that POR HD cells were more coarsely modulated by other spatial parameters compared to PoS, PaS, and MEC. Finally, our analyses indicated that the sharpness of HD tuning decreased as a function of laminar position and conjunctive coding within the PoS, PaS, and MEC, with cells in the superficial layers along with conjunctive firing properties showing less robust directional tuning. The results are discussed in relation to theories of functional organization of HD cell tuning in thalamo‐parahippocampal circuitry.