The chapter explores millennial-scale climate variability during glacial periods and abrupt climate changes known as Dansgaard–Oeschger and Heinrich events. It begins with a description of the classification of abrupt climate changes, detailing their timing, typical periodicities and manifestations in different paleoclimate proxies and geographical locations. Progress in modeling the Dansgaard–Oeschger and Heinrich events is reviewed, starting from the early attempts to model millennial-scale climate variability to recent results from comprehensive Earth system models. This is followed by a discussion of the current state of understanding of the mechanism of Dansgaard–Oeschger and Heinrich events. It is shown that both types of millennial-scale climate variability are likely to represent spontaneous, self-sustained oscillations in different components of the Earth system, although it is possible that some interactions between these types of variabilities could lead to synchronization.