The thermal behavior of volatile heterometallic CuPdL4 compound and parent β-diketonate complexes CuL2 and PdL2 (L = 2-methoxy-2,6,6-trimethylheptane-3,5-dionate; (CH3)3CCOCHCOC(CH3)2OCH3) were investigated by different methods. It is demonstrated that the combination of data on the gradient sublimation, TG–DTA, the mass transfer in a stream of inert gas and mass spectrometry can determine the composition of the gas phase. The volatility of the heterometallic complex was shown to follow the vapor-phase composition presented by binuclear [CuL2PdL2] molecules, and there was no decomposition into monometallic complexes within the studied temperature range (403–438 K). Temperature dependences of the saturated vapor pressure were obtained, and thermodynamic parameters of the sublimation process were computed for these three compounds for the first time. The thermal decomposition of the bimetallic complex vapor was found to start with the surface reaction of dissociation into monometallic complexes followed by their thermolysis with the formation of Cu/Pd alloy films.