In this study, the thermal behavior of new blocked polyisocyanate crosslinkers for polyurethane powder coatings was investigated. Blocked polyisocyanates were synthesized on the basis of biuretization process using isophorone diisocyanate (IPDI) and formic acid as biuretizing agent. ε-caprolactam was employed as blocking agent. Blocked polyisocyanates were additionally modified with α,ω-bis(hydroxyethyleneoxypropylene)-poly(dimethylsiloxane). The thermal behavior was investigated by means of coupled thermal analysis, differential scanning calorimetry and Fourier transform infrared spectroscopy (TG/DSC/FTIR). The TG analyses reveal that thermal decomposition of the blocked diisocyanate and blocked polyisocyanate comprising biuret moieties occurs in two main steps in the range of 120–275 °C and 310–375 °C, respectively. However, two additional stages in the range of 275–310 °C and 375–500 °C, for blocked polyisocyanate modified with polysiloxane, were observed.