Thermal analysis (TGA and DSC), coupled with evolved gas FTIR spectroscopy, has been used to study the changes occurring during, and differences between materials after, the annealing step of mixed-halide methylammonium lead halide perovskites. This is important because, to date, the material is the most efficient light harvester in highly efficient, 3^rd generation perovskite photovoltaic devices, and processing plays a significant role in device performance. TGA-FTIR data show only solvent evolution during the annealing step, whilst post-annealing analysis shows that the resulting material still contains a significant amount of residual solvent; however, efficient DMF removal was possible using a silica gel desiccant for a period of 3 days. The data also show that methylammonium halide decomposition does not occur until temperatures well above those used for perovskite processing, suggesting that this is not a significant issue for device manufacture. The absence of a well-defined, reversible tetragonal – cubic phase change around 55 °C in the DSC data of the annealed material, and the presence of HCl in evolved gas analysed following thermal decomposition, demonstrates that CH₃NH₃I_3−xCl_x does retain some Cl after annealing and does not simply form stoichiometric CH₃NH₃PbI₃ as has been suggested by some workers.