Materials based on cellulose cannot be obtained from thermoplastic processes. Our aim is to prepare all-cellulose materials by uniaxial high pressure thermocompression of cellulose. The effect of moisture content (0–8 w/w%) and temperature (175–250 °C) was characterized through the mechanical properties (bending and tensile), morphology (scanning electron microscopy, X-ray tomography) and microstructure (viscometric degree of polymerization, Raman spectroscopy, X-ray diffraction, solid-state NMR) of the specimens. The specimens were mechanically stronger in bending than in tension. They exhibited a more porous heart, a dense but very thin skin on the faces (orthogonal to the compression axis) and thick and extremely dense sides. During thermocompression severe friction between fibers caused a decrease in molecular weight while heating above the glass transition temperature was responsible for water migration towards the specimen heart. Most of the cohesion came from the small sides of the test samples (parallel to the compression axis) and seemed mainly related to the entanglement of amorphized cellulose at the interface between particles. Around 200 °C water accumulated and provoked delamination upon pressure release, but at higher temperatures water, in a subcritical state, may have been consumed during the hydrolysis of amorphous cellulose regions. The all-cellulose material with the best mechanical properties was obtained at 2% moisture and 250 °C. This work shows that thermocompression at high temperature with limited moisture may be viable to produce renewable, sustainable all-cellulose materials for application in biobased plastic substitutes including binderless boards.