Under certain conditions, the addition of small non-adsorbing polymers to a suspension of large hard spheres yields a depletion gel. It is expected that, provided that solvent quality issues do not lead to phase separation, thermodynamics imposes an invariance of the hard-sphere depletion gel upon heating. We show here that this is not the case for depletion gels of soft hairy nanoparticles. Using multiarm star polymers as a model that encompasses the key features of a huge range of grafted colloids, we show that their microstructural details make the difference. In particular, their hybrid nature, consisting of a carbosilane core and a polymeric shell, gives rise to a mismatch in thermal expansion upon heating, which affects the nanoparticle's conformation in a way analogous to a dry-to-wet brush transition, and hence leads to thermal melting of the gel. These results open the route for the molecular design of new materials, providing new opportunities to colloid chemistry and processing.