Theta Pinch is one of the promising methods for the generation of hot and dense plasma. In this paper, we describe the results of experimental research on a small-scale Theta Pinch created with Helium or Hydrogen plasmas. Different plasma diagnostics, namely, optical, microwave cut-off, laser interferometry, visible spectroscopy, Thomson scattering, and Laser-Induced Fluorescence were used to characterize the time- and space-resolved evolution of the plasma parameters, and the specific features of these diagnostic results obtained are discussed. The measured plasma density and the electron and ion temperature evolution, obtained by these various diagnostic tools, agree to a satisfactory level. These methods will be applied for studies of the parameters of the plasma in the device that is being developed by the nT-Tao company towards fusion energy.