It is known that nanosubstances exhibit unique properties owing to their nanosize of grains, large surface area, high porosity (for sponge-like materials). These properties enable application of nanoscale materials in various fields, such as catalysts, chemical current sources, ceramics and so on. Experimental study of nanoscale materials meets a number of difficulties. Among them are: (1) structural disordering, (2) difference in the chemical composition of the surface layer (shell) and inner part of the nanoparticles (core), (3) presence of impurities, adsorbed on the surface of nanoparticles, (4) the presence of hydrated (solvated) phases in the sample formed during the synthesis, (5) limitations of using traditional thermal methods for desorption of impurities and dehydration of the substance. Nanoscale substances, in comparison with their bulk counterparts, are metastable, and this leads to the difference in phase diagrams. This applies both to the position of the lines of phase equilibria, as well as temperature and concentration of non-variant equilibria points. Thermochemical studies of enthalpy of dissolution for oxides and hydroxides of iron [1], aluminum [2] and titanium [3] showed that the enthalpy of formation of these compounds depends linearly on the surface area of particles. The study of low-temperature heat capacity of magnetite [4] showed that the Verwey transition (a λ-peak at 120 K for bulk substance), for nanoparticle specimen (13 nm) actually disappears. On the curve Cp(T) magnetic transition in CoO [5] changes the shape of transition from a sharp peak (for a bulk substance) to flat maximum (for 7 nm particles). Calorimetric study of hexagonal nanoscale and bulk GdPO4·nH2O specimens revealed that the temperature of phase transformation, which consists of the removal of the last water molecules from the channels of the hexagonal structure and the resulting structural phase transition “rabdophan-monazite”, decreases by almost 300 K. Heat capacity measurements of nanowhiskers of LnPO4 (Ln=La-Sm) showed that in the temperature region above 100 K the thermodynamic functions of nanoscale substances are slightly higher than the values for bulk substances. For particles of size 25-30 nm the difference in entropy at a temperature of 298 K is up to 5%.