This paper investigates the effects of bolt threads on the initial and final stiffnesses of double-shear bolted connections through laboratory tests and finite element (FE) analyses. Nineteen specimens composed of 4.7 mm and 8.0 mm thick structural steel plates with bolt diameters of 20 mm and 30 mm having varying end distances are studied. The investigation, which involves shank and thread bolted connections, has found that the threads reduce the initial stiffness but increase the final stiffness. The FE analysis shows that the reduction in the initial stiffness is due to the bolt threads cutting into the connected plate, increasing the initial displacement. However, the same factor moderates the softening behaviour of a thread bolted connection as it approaches its ultimate capacity. The FE simulation shows that in certain cases this newly discovered phenomenon is caused by the threads restraining the crimpling of the plate material downstream of it. The present modelling technique significantly improves the simulation results of bolted connections tested by independent researchers, compared to their own modelling techniques including that which attempts to simulate the thread effects by reducing the diameter of the bolt model. The "elastic" stiffness values obtained from the present laboratory tests are compared against the Eurocode's provision based on the ASTM definition, and ad hoc stiffness formulae are proposed for shank and thread bolted connections.