MCM-41-type mesoporous silica was used as a support for poly(furfuryl alcohol) deposition. This material was produced by precipitation-polycondensation of furfuryl alcohol (FA) in aqueous slurry of the SiO2 support followed by controlled partial carbonization. By tuning the FA/MCM-41 mass ratio in the reaction mixture, various amounts of polymer particles were introduced on the inner and outer surface of the MCM support. The thermal decomposition of the PFA/MCM-41 composites was studied by thermogravimetry (TG) and spectroscopic techniques (DRIFT, XPS), whereas the evolution of textural parameters with increasing polymer content was investigated using low-temperature adsorption of nitrogen. The mechanism of thermal transformations of PFA deposited on the MCM-41 surface was discussed in detail. It was found that heating at a temperature of about 523 K resulted in opening of the furan rings and the formation of γ-diketone moieties, which were found to be the highest effective surface species for the adsorption of polar volatile organic compounds. A further increase in calcination temperature caused a drop in the amounts of surface carbonyls and the appearance of condensed aromatic domains.