The effect of different processing stages of dark and milk chocolate samples on their thermal properties was investigated. The ingredients of chocolates were investigated too. Thermal behavior was evaluated by means of thermogravimetry (TG) and first-derivative thermogravimetry (DTG). The measurements were made at a temperature range of 50–700 °C with a heating rate of 10 °C min−1. TG and DTG are thermal techniques, which have been taken advantage of research cocoa liquor, sugar, and cocoa butter in chocolates during the different processing stages. The obtained results evidenced possibility of indicating differences between milk fat and cocoa butter contribution and content of cocoa liquor and sugar which differ for dark and milk chocolates.