Do Thargoids drop anything worth picking up?

Let's put it: Not really. They drop some materials but those are only useful for some synthesis recipes. Have a look at this site: and sort by "Location". If you look at the Thargoid materials that can be found in Thargoid ship encounters you have an overview for what these materials are used.
Materials dropping from Interceptors are the only way to get components for synthesis of AX/Enzyme Munitions.

It's also the only way to get a Thargoid Heart, if that's important to you.
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