To generate artificial materials with advanced physical and chemical properties and to study phase transition kinetics on submillisecond time scale, an ultrafast nonadiabatic membrane nanocalorimeter was constructed. A set of commercially available membrane gauges for ultrafast nanocalorimetry has been developed. The gauges placed in a thermostat with controlled helium gas pressure and temperature can be utilized as devices for thermal processing and calorimetry with resolution of $1\mathrm{nJ}∕\mathrm{K}$ . Controlled ultrafast cooling, as well as heating, up to ${10}^6\mathrm{K}∕\mathrm{s}$ can be attained for nanogram samples. The maximum cooling rate is inversely proportional to the radius of the heated region of the gauge, which was in the range of $10–100\mu \mathrm{m}$ depending on the gauge. The minimum addenda heat capacity was $3\mathrm{nJ}∕\mathrm{K}$ . The dynamic heat-transfer problem for the temperature distribution in the membrane-gas system at ultrafast processing has been solved. The characteristic rate $R_0$ corresponding to quasistatic limit of the temperature change in the membrane-gas system has been found to be equal to ${10}^5\mathrm{K}∕\mathrm{s}$ for a $1\mu \mathrm{m}$ thick silicon nitride membrane in helium gas. Calorimeter performance at ultrafast rates has been verified by a set of test experiments. The method was applied for thermal processing and calorimetric measurements in a set of linear polymers. It has been established that nearly amorphous polyethylene can be obtained at a cooling rate of ${10}^6\mathrm{K}∕\mathrm{s}$ .