Thermal stability is a crucial property of materials, especially when they have a wide range of thermally sensitive applications. Cellulose nanomaterials (CNMs) extracted from cellulosic biomass have garnered significant attention due to their abundance, biodegradability, sustainability, production scalability, and industrial versatility. To explore the correlation between the structure, chemistry, and morphology of CNMs and their thermal stability, we present a comprehensive literature review. We identify five major factors affecting CNMs’ thermal stability, namely type, source, reaction conditions, post-treatment, and drying method, and analyze their impact on CNMs’ thermal stability using several case studies from the literature. Using multiple linear least-squares regression (MLR), we establish a quantitative relationship between thermal stability and seven variables: crystallinity index of the source, dissociation constant of the reactant used, reactant concentration, reaction temperature, reaction time, evaporation rate, and post-treatment presence. By understanding these interdependencies, our statistical analysis enables the design of CNMs with predictable thermal properties and identification of optimal conditions for achieving high thermal stability. The results of our study provide crucial insights that can guide the development of CNMs with enhanced thermal stability for use in a variety of industrial applications.