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Modern thermal analysis techniques are frequently used because of their ability to provide detailed information about both the physical and the energetic properties of a substance. In the present work, the thermal decomposition of zidovudine (AZT) was studied using differential scanning calorimetry (DSC) and thermogravimetry/derivative thermogravimetry (TG/DTG). Thermal analysis was supplemented using elemental analysis (C, H, and N), infrared (IR) spectroscopy, and X-ray powder diffraction to characterize the solid intermediates products. Volatile products of the thermal decomposition of AZT were studied by a system composed of the TG/DTA coupled gas chromatography/mass spectrometry (GC/MS). The physical–chemical properties and compatibilities of several commonly used pharmaceutical excipients with AZT were evaluated using thermal methods. The results showed that the product originated from the first thermal decomposition stage corresponds to the cleavage followed by elimination of the azide group and consequent formation of thymine. The second event corresponds to thermal decomposition of thymine. TG/DTA–GC/MS system identified thymine’s decomposition products as furan and 2-furanmethanol like volatile species. Comparison of the thermoanalytical profiles of the mixtures with individual compounds did not give any evidence of interactions.