Nanostructured coatings and films play an important role in modern surface engineering due to their ability to improve and optimize materials behavior under different external constraints such as high/low temperatures, stress/strain, corrosive/oxidizing atmosphere, electromagnetic fields/fluxes etc., used practically in all industrial fields. Surface modification may be done using any type of materials: polymers, metals, ceramics, composites or hybrids on any type of substrate by different physical, chemical or combined technologies. Thermal characterization methods are one of the most accessible tools to study, model and predict the process parameters required to preserve the nanostructures during thermal treatment of different coatings, develop novel multi-material coating systems, study the complex correlations between material properties vs. synthesis and processing parameters in real environments. Differential Scanning Calorimetry (DSC) is often used as a standard method to put in evidence different thermal events such as phase transitions, decomposition, oxidation/reduction, nucleation and growth at the substrate/coating interfaces or in coating materials. The present paper aims to review some examples on how DSC may be used to assess the thermal behavior of coatings using standardization tools and developing novel application fields.