This review describes methods and results of studying the mechanical properties of wood at all scales: from nano- to macro-scale. The connection between the mechanical properties of material and its structure at all these levels is explored. It is shown that the existing size effects in the mechanical properties of wood, in a range of the characteristic sizes of the structure of about six orders of magnitude, correspond to the empirical Hall-Petch relation. This “law” was revealed more than 60 years ago in metals and alloys and later in other materials. The nature, as well as the particular type of the size dependences in different classes of materials can vary, but the general trend, “the smaller the stronger”, remains true both for wood and for other cellulose-containing materials. The possible mechanisms of the size effects in wood are being discussed. The correlations between the mechanical and thermophysical properties of wood are described. Several examples are used to demonstrate the possibility to forecast the macromechanical properties of wood by means of contactless thermographic express methods based on measuring temperature diffusivity. The research technique for dendrochronological and dendroclimatological studies by means of the analysis of microhardness and Young’s modulus radial dependences in annual growth rings is described.