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Thermal modification (TM) is an ecological and low-cost pretreated method to improve the dimensional stability and decay resistance of wood. This study systematically investigates the relevance between the evolution of chemical structure and the physical and mechanical properties during wood thermal modification processes. Moreover, the volatility of compounds (VOCs) was analyzed using a thermogravimetric analyzer coupled with Fourier transform infrared spectrometry (TGA-FTIR) and a pyrolizer coupled with gas chromatography/mass spectrometer (Py-GC/MS). With an increase of TM temperature, the anti-shrink efficiency and contact angle increased, while the equilibrium moisture content decreased. This result indicates that the dimensional stability improved markedly due to the reduction of hydrophilic hydroxyl (−OH). However, a slight decrease of the moduli of elasticity and of rupture was observed after TM due to the thermal degradation of hemicellulose and cellulose. Based on a TGA-FTIR analysis, the small molecular gaseous components were composed of H₂O, CH₄, CO₂, and CO, where H₂O was the dominant component with the highest absorbance intensity, i.e., 0.008 at 200 °C. Based on the Py-GC/MS analysis, the VOCs were shown to be mainly composed of acids, aldehydes, ketones, phenols, furans, alcohols, sugars, and esters, where acids were the dominant compounds, with a relative content of 37.05−42.77%.