Cellulose powder and cellulose pellets obtained by pressing the microcrystalline powder were studied using differential scanning calorimetry (DSC), differential thermal analysis (DTA), and thermal gravimetry (TG). The TG method enabled the assessment of water content in the investigated samples. The glass phase transition in cellulose was studied using the DSC method, both in heating and cooling runs, in a wide temperature range from −100 to 180 °C. It is shown that the DSC cooling runs are more suitable for the glass phase transition visualisation than the heating runs. The discrepancy between glass phase transition temperature Tg found using DSC and predictions by Kaelbe’s approach are observed for “dry” (7 and 5.3% water content) cellulose. This could be explained by strong interactions between cellulose chains appearing when the water concentration decreases. The Tg measurements vs. moisture content may be used for cellulose crystallinity index determination.