The reliability of a coal mill's operation is strongly connected with optimizing the combustion process. Monitoring the temperature of a dust–air mixture significantly increases the coal mill's operational efficiency and safety. Reliable and accurate information about disturbances can help with optimization actions. The article describes the application of an additive regression model and data mining techniques for the identification of the temperature model of a dust–air mixture at the outlet of a coal mill. This is a new approach to the problem of power unit modeling, which extends the possibilities of multivariate and nonlinear estimation by using the backfitting algorithm with flexible nonparametric smoothing techniques. The designed model was used to construct a disturbance detection system in the position of hot and cold air dampers. In order to achieve the robust properties of the detection systems, statistical measures of the differences between the real and modeled temperature signal of dust–air mixtures were used. The research has been conducted on the basis of the real measuring data registered in the Polish power unit with a capacity of 200 MW. The obtained high-quality model identification confirms the correctness of the presented method. The model is characterized by high sensitivity to any disturbances in the cold and hot air damper position. The results show that the suggested method improves the usability of the statistical modeling, which creates good prospects for future applications of additive models in the issues of diagnosing faults and cyber-attacks in power systems.