The dehydration mechanism of natural single crystals of gypsum was investigated in the temperature range 300–430 K by in situ infrared (FTIR) spectroscopy. The thermal evolution of the second-order modes of H2O and SO4 groups in gypsum, in the wavenumber range 4850–5450 cm−1 and 2050–2300 cm−1 respectively, were used to probe the dehydration and rehydration sequence. A total disappearance of the combination modes of H2O and the replacement of four SO4−2 bands (2245, 2200, 2133, and 2117 cm−1) observed at room temperature by three bands (2236, 2163, and 2131 cm−1) observed at 390 K indicates the direct formation of γ-CaSO4 upon heating. Upon cooling water re-enters into the γ-CaSO4 structure at around 363 K to form bassanite. This observation, that the dehydration of gypsum directly yields γ-CaSO4 (anhydrite) without the intermediate formation of hemi-hydrate (bassanite), is further corroborated by the dehydration behavior of bassanite. The second-order SO4 modes of bassanite observed around 2218, 2136, and 2096 cm−1 were replaced with the bands of γ-CaSO4 at about 378 K upon heating.