Capping ligands play an important role in the chemistry of nanoparticles synthesized with organic surfactants. This is relevant to a number of device applications where heating may cause major modifications of crystalline nanoparticles including amorphization, surface rearrangements or sintering. Ultrathin monodisperse Ln2O2Sx oxysulfide nanoparticles (Ln=lanthanide) obtained in a mixture of oleylamine, oleic acid and 1‐octadecene show promising luminescence and light absorption properties. In view of applications, one open question concerns the thermal behavior and the role of the ligands on the thermal reactivity of the nanoparticles. In this report, we show that the thermal stability of Gd2O2Sx nanocrystals is limited because of their non‐stoichiometric composition and strongly depends on the annealing atmosphere. The sintering temperature of the nanoparticles is lower in air than in inert atmosphere because of a rapid degradation of the ligands. Annealing the nanoparticles in air enables removing the ligands without altering the nanocrystals structure. The decomposition of the Gd2O2Sx nanocrystals in inert atmosphere exhibits a complex multi‐step behavior that was precisely modeled. This work gives a comprehensive description of the stability conditions of lanthanide oxysulfide nanoparticles. It establishes the conditions for their practical use and opens the way to major improvements of the surface activity of Ln2O2S nanoparticles and related nanocrystals.