Wood is an environmentally friendly material, but some natural properties limit its wide application. To study the effect of a combination of heat treatment (HT) and wax impregnation (WI) on wood hygroscopicity, dimensional stability, and mechanical properties, samples of Pterocarpus macrocarpus Kurz wood were subjected to HT at a moderate temperature of 120 °C and a high temperature of 180 °C, for a 4 h duration. Subsequently, half of the 120 °C HT samples were treated with WI at 90 °C. The results showed that 180 °C HT and WI decreased the capacity of adsorption and liquid water uptake and swelled the wood significantly, while WI had the biggest reduction. The effect of 120 °C HT was significant only on decreasing the capacity of adsorption and the swelling of liquid water uptake. The bending strength (MOR) of wood decreased only after 180 °C HT, and 120 °C/4h HT and WI had no significant influence on MOR. The bending stiffness (MOE) increased significantly after 180 °C HT and WI, while 120 °C/4h HT had no significant influence on MOE. Therefore, the combination of moderate-temperature HT can act synergistically in the improvement of certain aspects of wood properties such as capacity of water adsorption and liquid water uptake. WI effectively improved wood hygroscopicity, dimensional stability, and mechanical properties.