Recent results suggest that a crucial crossroad for quantum gravity is the characterization of the effective dimension of spacetime at short distances, where quantum properties of spacetime become significant. This is relevant in particular for various scenarios of “dynamical dimensional reduction” which have been discussed in the literature. We are here concerned with the fact that the related research effort has been based mostly on analyses of the “spectral dimension”, which involves an unphysical Euclideanization of spacetime and is highly sensitive to the off-shell properties of a theory. As here shown, different formulations of the same physical theory can have wildly different spectral dimension. We propose that dynamical dimensional reduction should be described in terms of the “thermal dimension” which we here introduce, a notion that only depends on the physical content of the theory. We analyze a few models with dynamical reduction both of the spectral dimension and of our thermal dimension, finding in particular some cases where thermal and spectral dimension agree, but also some cases where the spectral dimension has puzzling properties while the thermal dimension gives a different and meaningful picture.