We study the thermodynamic properties of a system of two-level dipoles that are coupled ultrastrongly to a single cavity mode. By using exact numerical and approximate analytical methods, we evaluate the free energy of this system at arbitrary interaction strengths and discuss strong-coupling modifications of derivative quantities such as the specific heat or the electric susceptibility. From this analysis we identify the lowest-order cavity-induced corrections to those quantities in the collective ultrastrong coupling regime and show that for even stronger interactions the presence of a single cavity mode can strongly modify extensive thermodynamic quantities of a large ensemble of dipoles. In this non-perturbative coupling regime we also observe a significant shift of the ferroelectric phase transition temperature and a characteristic broadening and collapse of the black-body spectrum of the cavity mode. Apart from a purely fundamental interest, these general insights will be important for identifying potential applications of ultrastrong-coupling effects, for example, in the field of quantum chemistry or for realizing quantum thermal machines.