This article presents the results of comparative investigations of thermal parameters of hybrid sol−gel coatings (named TMZ) prepared from tetraethyl orthosilicate and organically modified 3-methacryloxypropyltrimethoxysilane. The coatings were prepared with the addition of zirconium(IV) tetrapropoxide chelated with methacrylic acid. Two series of samples were investigated: the first series, TMZ-I, TMZ-II and TMZ-III, with different amounts of zirconium, and the second series, TMZ-I/Ce, TMZ-II/Ce and TMZ-III/Ce, with the addition of cerium nitrate. The influence of the amount of zirconium and cerium on the thermal parameters of the sol−gel coatings was next analyzed. Two non-destructive and photothermal techniques were used for this purpose: photothermal radiometry (PTR) and beam deflection spectroscopy (BDS). The thermal diffusivity and conductivity of the coatings were extracted from the frequency experiments and are presented and discussed. The two-layer model was applied to interpret the photothermal spectra. The results obtained using these two techniques are compared and discussed.