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 gamma-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.