Four types of filled double-walled carbon nanotubes (DWNTs) (Se@DWNT; Te@DWNT; HgTe@DWNT; and PbI2@DWNT) have been studied by high-resolution transmission electron microscopy and micro-Raman spectroscopy in the temperature interval from 80 to 700 K employing 785 nm excitation wavelength. The temperature dependence of the dominant bands (D-band, G-band, and the (2D)-band) are analyzed in terms of the model developed by Klemens, Hart, Agraval, Lax, and Cowley and extended by Balkanski for anharmonic decay of optical phonons. The quasiharmonic frequencies and the anharmonicity constants were obtained from the temperature dependences of the analyzed Raman bands. The findings were compared to analogous study for empty DWNTs. The strength of the van der Waals interaction between the guest material and the carbon nanotube (CNT) estimated through the quasiharmonic frequencies was found to decrease in the following order: Se@DWNT; Te@DWNT; PbI2@DWNT, and HgTe@DWNT. In agreement with this, the anharmonicity due to the phonon–phonon interactions was found to decrease in the same order.