We present a coordinated study of the paramagnetic-to-antiferromagnetic, rhombohedral-to-monoclinic, and metal-to-insulator transitions in thin-film specimens of the classic Mott insulator V₂O₃ using low-energy muon spin relaxation, x-ray diffraction, and nanoscale-resolved near-field infrared spectroscopic techniques. The measurements provide a detailed characterization of the thermal evolution of the magnetic, structural, and electronic phase transitions occurring in a wide temperature range, including quantitative measurements of the high- and low-temperature phase fractions for each transition. The results reveal a stable coexistence of the high- and low-temperature phases over a broad temperature range throughout the transition. Careful comparison of temperature dependence of the different measurements, calibrated by the resistance of the sample, demonstrates that the electronic, magnetic, and structural degrees of freedom remain tightly coupled to each other during the transition process. We also find evidence for antiferromagnetic fluctuations in the vicinity of the phase transition, highlighting the important role of the magnetic degree of freedom in the metal-insulator transition.