From α-cellulose extracted from sugar cane bagasse, carboxymethyl cellulose (CMC), carboxymethyl cellulose acetate (CMCA) and carboxymethyl cellulose acetate butyrate (CMCAB) have been prepared, characterized and evaluated by TGA and DSC. TGA decomposition curves of CMCAB showed three decomposition stages, while cellulose, CMC and CMCA revealed two decomposition stages. The TGA of cellulose and CMC showed residual weight of 19.6 and 34.2%, respectively, at 600 °C, which indicates the presence of a fraction of non-volatile components. Meanwhile, the residual weight of CMCA and CMCAB was very low, which indicates their high purity. The activation energy and thermal stability of CMCAB were higher than those of the other derivatives due to the decomposition of the amorphous part during the modification. The DSC curves showed that CMCAB is a glassy thermoplastic material with glass transition temperature of 138.35 °C, whereas endothermic melting was found at 200 °C.