In this work we investigate the hematite (α-Al/Fe2O3) / aluminium (Al) thermite redox reaction at the femtosecond timescale by using ultrafast extreme ultraviolet (EUV) transient absorption spectroscopy. After an ultrafast ignition of the reaction by an optical pulse the electronic dynamics was monitored by EUV pulses as a chemically selective probe, tuned to the Fe M2,3 and to the Al L2,3 absorption edges. Our observations reveal a blue shift in the zero-absorbance point, emerging within the first few hundred femtoseconds. This shift is attributed to the formation of a small polaron in hematite, indicating a two-photon absorption mechanism as the excitation process. Additionally, the differences observed in the transient absorption traces for hematite deposited on aluminium versus parylene suggest the occurrence of an electron transfer between aluminium and hematite during the first phases of the redox.