Double-emulsion formulations have a compartmentalized structure that can provide high capacity of entrapment, protection of fragile substances, combination of incompatible substances in one product, and controlled release. We successfully prepared double emulsions with cyclomethicone as volatile oil phase using a two-step emulsification method, encapsulating model macromolecules. Several surfactants (Abil® EM90, Abil® Care 85, and Tween 80) were used to stabilize the double emulsion structure and TEGO® Carbomer 341 ER thickener was added to reach a viscosity ratio that allowed optimal formation of double-emulsion globules. The bulk stability of double emulsions was studied and the most stable formulations were selected to induce destabilization of thin films by evaporation. Microstructure of double emulsion films was monitored during volatilization using optical and fluorescence microscopy. Thermogravimetric analysis of double emulsions was performed to study the evaporation mechanism. The understanding of the evaporation mechanism exhibited in volatile double-emulsion formulations is important for the controlled release of active substances involving applications of interest for cosmetic or pharmaceutical industries.