This study describes winter climate during the last 500 yr for the greater Baltic Sea region through an examination of well-documented time series of ice cover, sea level pressure, and winter surface air temperatures. These time series have been the focus of previous studies, but here their covariation over different time scales is analyzed based on two modern descriptive statistical techniques, matching pursuit and wavelet analysis. Independently, 15 time periods were found during the last 500 yr with different climatic signatures with respect to winter severity, circulation patterns, and interannual variability. The onsets of these periods are presumably caused largely by perturbations within the system, although correspondences with solar and volcanic activity can be identified for certain of the periods. The Baltic region climate has changes on both centennial and decadal time scales, often with rapid transitions. Major warmer periods were the first half of the eighteenth century and the twentieth century. A common feature for warm (cold) periods is low (high) variability on shorter time scales. Century-scale variability and the modulation of interannual and decadal signals are quite diverse in the temporal records and do not suggest strong periodicities. An “event” type conceptual model therefore appears adequate for characterizing Baltic climate variability.