Crystalline hydrate of double cesium europium sulfate [CsEu(H2O)3(SO4)2]·H2O was synthesized by the crystallization from an aqueous solution containing equimolar amounts of 1Cs+:1Eu3+:2SO42− ions. Anhydrous salt CsEu(SO4)2 was formed as a result of the thermal dehydration of the crystallohydrate. The unusual effects observed during the thermal dehydration were attributed to the specific coordination of water molecules in the [CsEu(H2O)3(SO4)2]·H2O structure. The crystal structure of [CsEu(H2O)3(SO4)2]·H2O was determined by a single crystal X-ray diffraction analysis, and the crystal structure of CsEu(SO4)2 was obtained by the Rietveld method. [CsEu(H2O)3(SO4)2]·H2O crystallizes in the monoclinic system, space group P21/c (a = 6.5574(1) Å, b = 19.0733(3) Å, c = 8.8364(2) Å, β = 93.931(1)°, V = 1102.58(3) Å3). The anhydrous sulfate CsEu(SO4)2 formed as a result of the thermal destruction crystallizes in the monoclinic system, space group C2/c (a = 14.327(1) Å, b = 5.3838(4) Å, c = 9.5104(6) Å, β = 101.979(3) °, V = 717.58(9) Å3). The vibration properties of the compounds are fully consistent with the structural models and are mainly determined by the deformation of non-rigid structural elements, such as H2O and SO42−. As shown by the diffused reflection spectra measurements and DFT calculations, the structural transformation from [CsEu(H2O)3(SO4)2]·H2O to CsEu(SO4)2 induced a significant band gap reduction. A noticeable difference of the luminescence spectra between cesium europium sulfate and cesium europium sulfate hydrate is detected and explained by the variation of the extent of local symmetry violation at the crystallographic sites occupied by Eu3+ ions, namely, by the increase in inversion asymmetry in [CsEu(H2O)3(SO4)2]·H2O and the increase in mirror asymmetry in CsEu(SO4)2. The chemical shift of the 5D0 energy level in cesium europium sulfate hydrate, with respect to cesium europium sulfate, is associated with the presence of H2O molecules in the vicinity of Eu3+ ion.