We study the phases of near-extremal branes on a circle, by which we mean near-extremal branes of string theory and M-theory with a circle in their transverse space. We find a map that takes any static and neutral Kaluza-Klein black hole, i.e. any static and neutral black hole on Minkowski-space times a circle M^d × S¹, and map it to a corresponding solution for a near-extremal brane on a circle. The map is derived using first a combined boost and U-duality transformation on the Kaluza-Klein black hole, transforming it to a solution for a non-extremal brane on a circle. The resulting solution for a near-extremal brane on a circle is then obtained by taking a certain near-extremal limit. As a consequence of the map, we can transform the neutral non-uniform black string branch into a new non-uniform phase of near-extremal branes on a circle. Furthermore, we use recently obtained analytical results on small black holes in Minkowski-space times a circle to get new information about the localized phase of near-extremal branes on a circle. This gives in turn predictions for the thermal behavior of the non-gravitational theories dual to these near-extremal branes. In particular, we give predictions for the thermodynamics of supersymmetric Yang-Mills theories on a circle, and we find a new stable phase of (2, 0) Little String Theory in the canonical ensemble for temperatures above its Hagedorn temperature.