Anhydrous alkali copper sulfates constitute the most abundant group of mineral species from the Second Scoria Cone of the Great Tolbachik Fissure Eruption (1975–1976), a location being renowned for its great mineral diversity. Euchlorine, ideally KNaCu3O(SO4)3, is the prevalent mineral in the hot sulfate-rich zones of the fumaroles. In this work, its thermal expansion and hydration/dehydration behavior have been studied. The results of a structure refinement from new single-crystal diffraction data are also reported, and a description of the structure based on anion-centered coordination polyhedra is given. The strongly anisotropic character of the thermal expansion of euchlorine remains essentially unchanged up to its decomposition. The strongest α11 expansion is observed approximately perpendicular to the alkali interlayer of the structure, whereas the minimal α22 and α33 thermal expansion coefficients are parallel to the plane of {Cu3O(SO4)3}2− layers. Hydration experiments controlled by X-ray powder diffraction reveal a very complex behavior with multicomponent phase formation. Remarkably, upon heating stepwise dehydration occurs, whereby the complex mixture of hydrated sulfates gradually reverses and becomes again essentially single-phased anhydrous euchlorine.