Thermal properties of a red phosphor CaAlSiN3:Eu (CASN) at elevated temperatures were evaluated. A heat treatment at 800 °C degraded the photoluminescence property of CASN and caused irreversible changes in both the excitation and emission intensities. The heat treatment in air simultaneously decreased the N elements and increased the O elements. Consequently, the Eu2+ luminescence center was oxidized and CASN lost its photoluminescence property. Although the crystal structure of CASN host was stable even after the heat treatments, the local structure change around the Eu2+ ions is the origin of the thermal degradation of CASN. We found that the heat treatment in N2 atmosphere suppresses the thermal degradation. This is due to the suppression of N evolutions and the incorporation of O elements, which sustains the optically active Eu2+ state.