Density is an important wood mechanical property and an indicator of xylem architecture and hydraulic conductivity. It can be influenced by forest management and climate. We studied the impact of thinning and climate variables on annual stem radial growth (ring width and ring density, and their earlywood and latewood components) in two contrasting Scots pine (Pinus sylvestris L.) stands in northern Spain (one continental, one Mediterranean). At each site, three thinning regimes (control or T0, removing 20% basal area or T20, and removing 30% or T30) were randomly applied to nine plots per site (three plots per treatment) in 1999. Thinning was repeated at the Mediterranean site in 2009 (increasing thinning intensity in T30 to 40%). Eight trees per plot were cored in spring 2014. Second thinning at the Mediterranean site and first thinning at the continental site generally caused significantly wider ring (RW), earlywood (EW) and latewood (LW) widths, although no differences between T20 and T30/40 were found, supporting in part the common observation that radial growth is enhanced following thinning as competition for water and nutrients is reduced. At the Mediterranean site, values of latewood density (LD) and maximum density (Dmax) relative to pre-thinning conditions were significantly lower in T0 than in T30. However, at the continental site, relative changes of ring density (RD) and LD were significantly higher in T0 than in T20 and T30. Climate significantly affected not only RW but also RD, with significant RD drops during or right after unusually warm-dry years (e.g., 2003, 2011), which were characterized by LD reductions between 5.4 and 8.0%. Such RD decreases were quickly followed by recovery of pre-drought density values. These results indicate trees temporarily reduce LD as a way to enhance hydraulic conductivity during dry summers. However, climate effects on wood density were site-dependent. We also detected that the thinning effect was not intense enough to prevent drought-induced changes in wood density by altering water availability, but it could help to reduce wood properties fluctuations and therefore maintain more homogeneous wood mechanic features.