Stochastic phase transformations within individual crystalline particles were recorded by integration of second harmonic generation (SHG) imaging with differential scanning calorimetry (DSC). The SHG activity of a crystal is highly sensitive to the specific molecular packing arrangement within a noncentrosymmetric lattice, providing access to information otherwise unavailable by conventional imaging approaches. Consequently, lattice transformations associated with dehydration/desolvation events were readily observed by SHG imaging and directly correlated to the phase transformations detected by the DSC measurements. Following studies of a model system (urea), stochastic differential scanning calorimetry (SDSC) was performed on trehalose dihydrate, which has a more complex phase behavior. From these measurements, SDSC revealed a broad diversity of single-particle thermal trajectories and direct evidence of a "cold phase transformation" process not observable by the DSC measurements alone.