Although micromechanical sensors enable chemical vapor sensing with unprecedented sensitivity using variations in mass and stress, obtaining chemical selectivity using the micromechanical response still remains as a crucial challenge. Chemoselectivity in vapor detection using immobilized selective layers that rely on weak chemical interactions provides only partial selectivity. Here we show that the very low thermal mass of micromechanical sensors can be used to produce unique responses that can be used for achieving chemical selectivity without losing sensitivity or reversibility. We demonstrate that this method is capable of differentiating explosive vapors from nonexplosives and is additionally capable of differentiating individual explosive vapors such as trinitrotoluene, pentaerythritol tetranitrate, and cyclotrimethylenetrinitromine. This method, based on a microfabricated bridge with a programmable heating rate, produces unique and reproducible thermal response patterns within 50 ms that are characteristic to classes of adsorbed explosive molecules. We demonstrate that this micro-differential thermal analysis technique can selectively detect explosives, providing a method for fast direct detection with a limit of detection of 600×10-12g.