The lack of a means for $d\phantom{\rule{0}{0ex}}i\phantom{\rule{0}{0ex}}r\phantom{\rule{0}{0ex}}e\phantom{\rule{0}{0ex}}c\phantom{\rule{0}{0ex}}t$ characterization of the pyroelectric and electrocaloric effects, particularly in ferroic thin films, limits our understanding of the electrothermal physics essential for applying these materials in areas such as energy conversion, solid state cooling, and sensing. The authors develop a direct approach to probe polarization-heat interactions in pyroelectric and electrocaloric thin-film capacitors, including measurement of pyrocurrents < 10 pA and electrocaloric temperature changes < 2 mK.