Traditionally, the nuclear and aerospace industries have been the main drivers behind the development of high‐temperature materials. These applications demand a high degree of reliability and extensive characterization of every new material. There is a lack of experimental thermodynamic data above 1500°C even for HfO2, ZrO2, La2O3, Y2O3, and other constituents of widely used ceramic systems. Such data, as are available, were often obtained half a century ago using custom‐built instruments. We review classic experimental approaches for the measurement of formation enthalpies, high‐temperature enthalpy increments by the drop method, and also discuss more recent developments which include mass spectrometric measurements of vapor pressures, pulsed laser relaxation methods for heat capacity, and melting temperature determination and high‐temperature oxide melt solution calorimetry in application to refractory compounds. Approaches to the experimental determination of phase diagrams at high temperature are introduced using studies of liquid immiscibility in the Zr(O)–UO2 system as an example. Thermal analysis above 2000°C is now possible with commercially available instruments, as shown by the first experimental measurements of the phase transition and fusion enthalpies of La2O3. New results on a premelting phase transition in Y2O3 in oxygen are reported from in situ synchrotron X‐ray diffraction study on levitated samples.