This paper reports on the thermomechanical properties and thermal degradation kinetics of poly(methyl methacrylate) (PMMA) and polycarbonate (PC) composites filled with cerium-doped yttrium aluminium garnet (Ce:YAG) at different contents ranging between 0.1 and 5 wt%, and prepared by melt compounding. The interaction between PMMA and the filler was much stronger than that between PC and the filler, and this resulted in a significant improvement in the dynamic mechanical properties of the PMMA composites. The presence of filler did not significantly increase the thermal stability of the PC, while an observable increase in the thermal stability was only observed at higher filler loadings for the PMMA composites. This was attributed to the stronger interaction between Ce:YAG and PMMA and/or its degradation volatiles.