Background: Preservation of fossil vertebrates in volcanic rocks is extremely rare. An articulated skull (cranium and mandible) of a rhinoceros was found in a 9.260.1 Ma-old ignimbrite of Cappadocia, Central Turkey. The unusual aspect of the preserved hard tissues of the skull (rough bone surface and brittle dentine) allows suspecting a peri-mortem exposure to a heating source. Methodology/Principal Findings: Here we describe and identify the skull as belonging to the large two-horned rhinocerotine Ceratotherium neumayri, well-known in the late Miocene of the Eastern Mediterranean Province. Gross structural features and microscopic changes of hard tissues (bones and teeth) are then monitored and compared to the results of forensic and archaeological studies and experiments focusing on heating effects, in order to reconstruct the hypothetical peri-mortem conditions. Macroscopic and microscopic structural changes on compact bones (canaliculi and lamellae vanished), as well as partial dentine/cementum disintegration, drastic enamel-dentine disjunctions or microscopic cracks affecting all hard dental tissues (enamel, cementum, and dentine) point to continued exposures to temperatures around 400-450uC. Comparison to other cases of preservation of fossil vertebrates within volcanic rocks points unambiguously to some similarity with the 79 AD Plinian eruption of the Vesuvius, in Italy. Conclusions/Significance: A 9.260.1 Ma-old pyroclastic density current, sourced from the Ç ardak caldera, likely provoked the instant death of the Karacaşar rhino, before the body of the latter experienced severe dehydration (leading to the wide and sustainable opening of the mouth), was then dismembered within the pyroclastic flow of subaerial origin, the skull being separated from the remnant body and baked under a temperature approximating 400uC, then transported northward, rolled, and trapped in disarray into that pyroclastic flow forming the pinkish Kavak-4 ignimbrite ,30 km North from the upper Miocene vent.