Thermal modification is the most important commercial modification procedure. Thermally modified (TM) wood has improved durability, but its performance does not meet expectations predominately under moist conditions. To reduce water uptake of TM wood, Norway spruce specimens were treated with suspensions of a natural wax by dipping impregnation (DipI) or by vacuum-pressure impregnation (VPI). Wax-treated specimens were subsequently TM at 185, 200, 215, and 230°C. Control specimens were heated up to 100°C only. Contact angle (CA), short-term and long-term water uptake, bending strength, and performance against wood decay fungi of the resulting material were determined. The results show that a combination of wax treatment and thermal modification have a synergistic effect that considerably improves hydrophobicity, reduces liquid water uptake, slows down water vapor uptake, and improves the resistance against fungal decay of the treated material.