Thermal hydrolysis, when used as pre-treatment, enhances the anaerobic digestion of sewage sludge; moreover, due to the high temperature normally applied, undesirable recalcitrant compounds via Maillard reactions may also be formed. However, although the appearance of these recalcitrant compounds is widely reported, more information on the formation, structure, and fate of these compounds is still needed. This study was focused on understanding the amount and whereabouts of such compounds during the anaerobic digestion process with thermal pre-treatment in soluble and total phase and advance in its structural identification by analyzing their infrared (IR) spectra. It was found that, even with the improved methane production and COD degradation, at 165 °C for 30 min, humic-like compounds are formed which could not be degraded at the anaerobic digestion step. These compounds account for 25% of the original sludge. Infrared spectroscopy proved to be a powerful technique, permitting their differentiation from the natural humic-like compounds. This research provides new information about the structure of melanoidins at every stage of the thermal hydrolysis pre-treatment and how they contribute to the dissolved organic nitrogen.