Salonica: City of Ghosts by Mark Mazower (2004) is the essential starting point. Mazower, a historian at Columbia, traces Thessaloniki from Byzantine Christian city to Ottoman Muslim capital to Sephardic commercial hub to Greek nationalist project. He writes about history with the intelligence and pace of good narrative non-fiction, and the book will reframe everything you see in the city.
The Mourning Bride by Stratis Myrivilis is a novel set in the Macedonian campaign of World War I, part of a trilogy by one of Greece's most important 20th-century writers. Myrivilis was from Lesbos but the war brought him to this part of the world. Harrowing, beautifully written.
Eleni by Nicholas Gage (1983) is about the Greek Civil War and the author's mother's death in a village further north, but it opens a window onto the violent chaos that tore through Macedonia in the 1940s and gives essential context for understanding what shaped modern northern Greece.
Dear Edward by Ann Napolitano is not set in Thessaloniki but is a novel about aftermath and rebuilding — it makes the reading list here because it's what serious Thessaloniki-based booksellers tend to recommend to literary visitors who want contemporary Greek or Greek-adjacent fiction. Better still: browse the Molho bookshop on Tsimiski Street, which has been serving Thessaloniki's literary community since 1928 and has one of the best English-language travel and history sections in the country.