Luxembourg has a temperate climate with no extremes: cool, damp winters and warm rather than hot summers. The seasons matter less here than the day of the week, for reasons explained below.
Spring — April to June
The best period for the countryside. The Mullerthal and the Ardennes are at their finest in May, when the beech comes into leaf, and the broad beans that go with the national dish are in season. Whitsun brings the Echternach procession, which is the single most distinctive event in the Luxembourgish calendar.
Summer — July and August
Warm, with highs typically in the mid-twenties. This is festival season: the Blues'n'Jazz Rallye in the Grund and Clausen, the Vianden medieval festival, open-air concerts at Wiltz and the Philharmonie's summer programme.
Late August brings the Schueberfouer, a funfair founded in 1340 by John the Blind and now the largest in the region, running for two and a half weeks on the Glacis field. It is a genuine national institution rather than a tourist event, and the fried fish and Gromperekichelcher stalls are part of it.
Autumn — September and October
The wine harvest along the Moselle, with village festivals through September and October, and the Ardennes turning colour. Excellent walking weather and lower demand for accommodation.
Winter — November to March
Grey and damp more often than snowy, though the Ardennes get snow most years. The Christmas markets in Luxembourg City — spread across several squares — are pleasant and compact, and the ice rink on Place Guillaume II is part of the appeal. Castles reduce their hours and some close entirely.
The weekday problem
Here is the thing that distinguishes Luxembourg from most destinations: it is a business and institutional city with around 200,000 cross-border commuters arriving each day. Hotel prices are set by that demand, which means weekends are substantially cheaper than weekdays — often by half.
The corollary is that the capital is quiet on Saturday and Sunday, with some restaurants closed. For a visitor that trade-off usually favours the weekend.
The short version
For walking, come in May or September. For the procession, Whitsun. For the funfair, late August. And whenever you come, arrive on a Friday rather than a Monday.