Sedimentary mercury (Hg) has become a widely used proxy for paleo‐volcanic activity. However, scavenging and drawdown of Hg by organic‐matter (OM) and sulfides are important non‐volcanic factors determining variability in such records. Most studies, therefore, normalize total Hg (HgT) to a Hg “host‐phase” proxy (e.g., HgT/TOC for OM, HgT/TS for sulfides), with the dominant host‐phase determined based on the strongest observed (linear) correlations. This approach suffers from various non‐linearities in Hg‐host‐phase behavior and does not account for succession‐level, let alone sample‐level, Hg speciation changes. Thermal desorption characteristics or “profiles” (TDPs) for many Hg species during pyrolysis analysis are well‐established with applications including distinguishing between OM‐bound Hg and different Hg sulfides and oxides in (sub‐)recent sediments. We explore the use of TDPs for geological sediment (rock) samples and illustrate the presence of multiple release phases (Hg species)—correlated to geochemical host‐phase—in (almost) all the 65 analyzed Tithonian (146–145 Ma) silt and mudrock samples. By quantifying the Hg in each release phase for every sample, we find TOC concentration may determine ∼60% of the variability in the first (lower temperature) Hg TDP release phase: a stark difference with the total Hg released from these samples, where ∼20% of variation is explained by TOC variability. TDPs provide insight on sample‐level Hg speciation and demonstrate that, while the common assumption of single‐phase Hg speciation in sedimentary rocks is problematic, differences in Hg speciation can be detected, quantified, and accounted for using commonly applied techniques—opening potential for routine assessment. Plain Language Summary Sedimentary mercury (Hg) has become a widely used proxy for paleo‐volcanic activity. The concentration of Hg in sediments is however also impacted by a combination of non‐volcanic processes and most notably the abundance of Hg‐scavenging phases such as organic‐matter or sulfides. The Hg host phase, closely linked to Hg speciation, has been almost exclusively defined based on the strongest linear correlations, without independent control or validation of the key assumptions that Hg is hosted in a single phase (i.e., is present in a single chemical species) and that this phase can be determined via correlation. Here, we test whether ramping desorption temperatures of sedimentary Hg species can provide a feasible path to Hg speciation constraints for each individual sediment rock sample. With limited additional effort, we obtained these thermal desorption data simultaneously with total Hg concentration values. Virtually all upper Jurassic sediment samples in our test set show the presence of multiple Hg phases, in conflict with the common assumption of single‐phase Hg speciation. The thermal desorption approach presented here provides a simple independent method to gain a new perspective on some of the key assumptions that underlie the use of Hg as a proxy for paleo‐volcanic activity. Key Points Our ability to resolve the processes driving sedimentary Hg concentrations is affected by (changes in) Hg speciation in sedimentary rocks Via the use of thermal desorption characteristics, we developed a method to simultaneously obtain total Hg and Hg speciation for each sample Multiple phases of Hg release occur and the individual phases vary in importance between samples