This work presents the study of thermal behaviour in thin Nafion films. The experiments have been carried out with variable angle spectroscopic ellipsometry (VASE), atomic force microscopy (AFM), and goniometer. The results from this investigation focused on thin films between 10 and 700 nm thick on different substrates. The thermal behaviour of thin films was studied by analyzing the thermal expansion coefficients (α) and glass transition temperature (Tg). Moreover, the influence of different substrates on the thin films’ thermal behaviour was investigated. It was found that Nafion thin films did not show clear glass transition behaviour between 25 and 200°C. The α values of thin films showed clear deviation from that of Nafion membrane. Moreover, the thin films on hydrophilic substrates (Au and Pt). showed decrease in α compared to membrane, while intermediate substrates (SiO2, graphene) showed increase. There is a strong correlation between water contact angle and α values.