The weak absorption of a laser beam generates in a fluid an inhomogeneous refractive index profile acting as a negative lens. This self-effect on beam propagation, known as Thermal Lensing (TL), is extensively exploited in sensitive spectroscopic techniques, and in several all-optical methods for the assessment of thermo-optical properties of simple and complex fluids. Using the Lorentz–Lorenz equation, we show that the TL signal is directly proportional to the sample thermal expansivity α, a feature allowing minute density changes to be detected with high sensitivity in a tiny sample volume, using a simple optical scheme. We took advantage of this key result to investigate the compaction of PniPAM microgels occurring around their volume phase transition temperature, and the temperature-driven formation of poloxamer micelles. For both these different kinds of structural transitions, we observed a significant peak in the solute contribution to α, indicating a decrease in the overall solution density—rather counterintuitive evidence that can nevertheless be attributed to the dehydration of the polymer chains. Finally, we compare the novel method we propose with other techniques currently used to obtain specific volume changes.