This question seems to confuse people in other parts of the world and the description ‘Nordic’ and ‘Scandinavian’ are often mistakenly used interchangeably.
Simply put, Scandinavia consists of Sweden, Denmark and Norway and is largely a geographical description. The Nordic region seems less clear but is a cultural description and consists of Sweden, Denmark, Norway, Finland and Iceland. The political organisation The Nordic Council also includes the autonomous territories of Faroe Islands, Greenland and the Åland Islands. So all Scandinavians are Nordic, but not not all Nordic people are Scandinavian.
Then, to confuse things slightly, there are the FennoScandinavian countries which include Scandinavia, Finland and Karelia, but minus Denmark. Then there are the Baltic States which are Estonia, Latvia and Lithuania. So, although Sweden is on the Baltic Sea, it is not a Baltic State.
So, in summary, Swedes are Scandinavians, Nordics and FennoScandinavians but not Baltics.