This paper presents the thermal behavior of polymer microspheres based on glycidyl methacrylate (GMA) and crosslinking agents benzene-1,4-diylbis(2-methylprop-2-enoate) (1,4DMB) and trimethylolpropane trimethacrylate (TRIM) before and after functionalization with thioglycolic acid (TGA). The thermal stability of the polymers was determined using thermogravimetric analysis and differential scanning calorimetry under non-oxidizing conditions. The evolved gases were detected by FTIR and NMR spectroscopy, and the chemical structure of solid residues after preheating was assessed by FTIR/ATR spectroscopy. The post-functionalized microspheres showed higher thermal stability (within 270–290 °C) than the initial copolymers (within 240–250 °C). In this paper, examples of decomposition patterns of polymer microspheres before and after functionalization are presented. The decomposition of the initial microspheres starts with the emission of GMA monomers, acrolein, carbon dioxide, and the formation of unsaturated bonds in the solid residue. In the case of functionalized microspheres, degradation involves the transesterification of ester groups with the -SH groups, resulting in the emission of carbonyl sulfide, acrolein and carbon dioxide. Furthermore, lactone groups are created in the solid residue. The degradation of the functionalized copolymers is a complex process due to their crosslinked structure, rendering the identification of all the degradation products unattainable.