Sepiolite is widely used in various fields due to its unique colloidal-rheological and physicochemical properties. The first experimental thermochemical study of natural sepiolite Mg8Si12O30(OH)4(H2O)4·nH2O from Akkermanovskoe field (Southern Ural, Russia) was performed utilizing the high-temperature heat-flux Tian-Calvet microcalorimeter. X-ray powder diffraction, thermal analysis, and FTIR spectroscopy methods were used to characterize sepiolite. Processes of dehydration, dehydroxylation, and various water types’ removal enthalpies were studied using thermochemical methods. The values of Δdehydr.H0(298.15 K) of adsorbed, zeolitic, and bound water calculated per 1 mol of released H2O, were as follows: 15 ± 4, 28 ± 8, and 39 ± 15 kJ/mol, respectively. The enthalpy of dehydroxylation of sepiolite was found as 145 ± 14 kJ/(mol H2O). Obtained data point at different binding strengths of water in the structure of sepiolite. The enthalpies of formation from the elements ΔH0f(298.15 K) were derived by melt solution calorimetry for sepiolite with various content of different water types: −18 773 ± 28 kJ/mol for Mg8Si12O30(OH)4(H2O)4·4H2O and −16 426 ± 21 kJ/mol for Mg8Si12O30(OH)4(H2O)4.