The aim of this study was to enhance the water repellency and dimensional stability of thermally modified wood by combining the preimpregnation of paraffin wax emulsion. To achieve this, Southern pine (SP; Pinus spp.) samples were first impregnated with paraffin wax emulsion (with 2.0% solid content) and then subjected to thermal modification (TM) in an oven at 180°C and 220°C for 4 and 8 h. The contact angle (CA), surface free energy, water absorption rate (WAR), anti-swelling efficiency (ASE), and bending properties of the control and modified samples were investigated. Moreover, the chemical and morphological alterations were analyzed by Fourier transform infrared (FTIR) spectroscopy, scanning electron microscopy (SEM), and X-ray photoelectron spectroscopy (XPS). Both the wax impregnation and TM decreased the surface wettability, water absorption, and tangential swelling, while the combination of wax and thermal treatment exhibited the best water repellency and dimensional stability, indicating the synergism between the two procedures. However, the wax preimpregnation did not affect the mechanical properties of thermally modified wood. The FTIR, SEM, and XPS analyses confirmed that the synergistic effect is mainly due to the redistribution of the paraffin wax during TM rather than its impact on the chemical changes caused by thermal degradation.