Polymethyl methacrylate (PMMA) is a widely used optical polymer due to its excellent transparency and durability. However, the sole methyl group shows pure PMMA low refractive index and low UV absorbility, and poor thermal stability. In this work, two comonomers phenyl methacrylate (PhMA) and adamantyl methacrylate (AdMA) were used for copolymerization with methyl methacrylate (MMA), and three copolymers P(AdMA-co-MMA), P(PhMA-co-MMA) and P(AdMA-co-PhMA-co-MMA) were prepared. They were characterised by FTIR, ¹H NMR, UV-Vis, ellipsometer, DSC, TG, and TG-MS, and the effects of phenyl and adamantyl substituents on the optical and thermal properties of PMMA were studied. It was found that phenyl played an important role in increasing the absorption and refraction of PMMA in the deep UV region (190–260 nm), while the glass transition temperature and thermal stability of PMMA were more affected by adamantyl than by phenyl. Introduction of phenyl and adamantyl substituents provided a method to tune the optical and thermal properties of PMMA as photoresist or antireflective coating for deep UV lithography.