The paper summarizes experimental data on thermal conductivity variations in gas-saturated sediments exposed to hydrate formation at various conditions. All experiments were performed on a specially designed gas hydrate system maintaining a high gas pressure and a steady-state thermal regime, with a built-in unit for thermal conductivity measurements. The measurements were applied to natural samples of fine sand and silty sand collected from gas emanation sites in permafrost and to artificial sand and sand-clay mixtures. The results show that thermal conductivity can either increase or decrease depending upon hydrate formation conditions. Namely, it increases if gas hydrates form at positive temperatures (t > 0 °C) but decreases during hydrate formation in frozen samples. Freezing and thawing of hydrate-bearing sediments above the equilibrium pressure reduce their thermal conductivity as a result of additional hydrate formation. Experimental results are used to model hydrate and ice formation in gas-saturated sediments. The experimental study of thermal conductivity in hydrate-bearing sediments has implications for simulations of methane recovery from natural gas hydrate reservoirs and the respective technologies.