This paper deals with the thermal decomposition behavior of PTT and its two different phosphorus-containing copolyesters, one containing 9,10-dihydro-10-[2,3-di(hydroxycarbonyl)propyl]-10-phospha-phenanthrene-10-oxide (DDP) with phosphorus in the pendent group, the other containing bis-4-carboxyphenyl phenyl phosphine oxide (BCPPO) with phosphorus in the backbone. TGA-FTIR and Pyrolysis-GC/MS were used to investigate the corresponding volatile products under nitrogen atmosphere. Both PTT and its phosphorus-containing copolyesters showed one decomposition stage between 330 and 446 °C. The introduction of phosphorus decreased the onset decomposition temperature due to the comparative weak P–C bond. No obvious absorption peak of P–C bond is detected with FTIR in volatile products for its low content and weak absorption. The analysis of volatile products of TGA and Pyrolysis-GC/MS revealed that they underwent different way of thermal decomposition for the different decomposition conditions. Possible thermal decomposition schemes are proposed and mass spectra of some decomposition products are also listed.