Hysteresis loops exhibited by the thermophysical properties of VO2 thin films deposited on either a sapphire or silicon substrate have been experimentally measured using a high frequency photothermal radiometry technique. This is achieved by directly measuring the thermal diffusivity and thermal effusivity of the VO2 films during their heating and cooling across their phase transitions, along with the film-substrate interface thermal boundary resistance. These thermal properties are then used to determine the thermal conductivity and volumetric heat capacity of the VO2 films. A 2.5 enhancement of the VO2 thermal conductivity is observed during the heating process, while its volumetric heat capacity does not show major changes. This sizeable thermal conductivity variation is used to model the operation of a conductive thermal diode, which exhibits a rectification factor about 30% for small temperature differences (≈70 °C) on its terminals. The obtained results grasp thus new insights on the control of heat currents.