We report in this paper the proofs that the pulse shape analysis can be used in some bolometers to identify the nature of the interacting particle. Indeed, while detailed analyses of the signal time development in purely thermal detectors have not produced so far interesting results, similar analyses on bolometers built with scintillating crystals seem to show that it is possible to distinguish between an electron or gamma-ray and an alpha particle interaction. This information can be used to eliminate background events from the recorded data in many rare process studies, especially Neutrinoless Double Beta decay search. Results of pulse shape analysis of signals from a number of bolometers with absorbers of different composition (CaMoO4, ZnMoO4, MgMoO4 and ZnSe) are presented and the pulse shape discrimination capability of such detectors is discussed.