Cementite (Fe3C) powder consisting of polycrystalline particles was investigated by synchrotron X‐ray diffraction and neutron diffraction at temperatures between 10 and 973 K. The data reveal a pronouncedly anisotropic thermal expansion of the orthorhombic unit cell as well as microstrain broadening varying considerably with temperature. Using a theory for predicting thermal‐microstress‐induced microstrain already applied in previous work to ambient‐temperature sealed‐tube X‐ray powder diffraction data from the same material [Leineweber (2012). J. Appl. Cryst.45, 944–949], the temperature‐dependent extent of the measured microstrain broadening could be quantitatively related to the measured temperature‐dependent anisotropy of the thermal expansion. Thereby, the fact that the extent of the measured microstrain broadening is somewhat smaller than the predicted amount can be explained by the presence of the free surfaces of the powder particles reducing the level of microstress‐induced microstrain.