Experimental study of temperature-pressure phase diagrams revealed a slight difference in the sensitivity to hydrostatic pressure of triglycine sulfate (TGS) as a bulk (single crystal, ceramics), and nanoparticles embedded in porous glass (TGS + PG). An analysis of the pressure sensitivity, dT0/p and dT0/dσ, and entropies of the P21 ↔ P21/m phase transition showed the closeness of the barocaloric parameters in various materials under study. Due to the strong anisotropy of thermal expansion, the piezocaloric effect under pressure along the axis c exceeds the barocaloric effect in single-crystal TGS. The reasons for the strong reduction in the electrocaloric effect in the ferroelectric component of nanocomposites compared with a single-crystal are discussed.