Chemical composition influences the calorific power of wood, mainly due to the calorific power of structural compounds and extractives. Heat treatment changes the chemical composition of treated wood. This work studies the relationship between chemical composition and calorific power improvement by heat treatment. Samples were heat-treated by the ThermoWood process ® for 1 h and 2 h. High heating value (HHV) and chemical composition; lignin, cellulose, hemicelluloses and extractives in dichloromethane, ethanol, and water were determined. The HHV of untreated wood ranged between 18.54–19.92 MJ/kg and increased with heat treatment for all the tested species. A positive linear correlation was found between HHV and Klason lignin (R2 = 0.60). A negative trend was observed for holocellulose, cellulose, and hemicelluloses content against HHV, but with low determination coefficients for linear regression. The best adjust for polysaccharides was found for hemicelluloses content. A positive correlation could be found for dichloromethane extractives (R2 = 0.04). The same was obtained in relation to ethanol extractives with R2 = 0.20. For water and total extractives, no clear positive or negative trends could be achieved. The results showed that the HHV of wood increased with heat treatment and that this increase was mainly due to the increase in lignin content.