Anomalies in the magnetic contribution to the thermal expansion coefficients ∆β(T)of the CeB6, PrB6, and NdB6 hexaborides in the range of 5–300K were found by comparison with diamagnetic LaB6. The characteristic of the anomalies was the same in all the studied borides: a distinct peak at low temperatures, followed by a broad maximum at higher temperatures (50–100K), then a decrease and transition to the region of negative values as the temperature increases further. The features of ∆β(T) are explained by the effects of the magnetic order (sharp low temperature peaks) and the crystal electric field (CEF). The βCEF(T) dependencies were calculated using Raman and neutron scattering data on the splitting of the rare-earth (RE) ions R3+ f-level by the CEF. A satisfactory consistency between the values of βCEF(T) and ∆β(T)was obtained for the studied hexaborides. Additionally, we determined the values of the Grüneisen parameter γi that correspond to the transition between the ground and excited multiplets of R3+ ions f-level splitting.