We investigate the dynamics of two coupled macrospins connected to thermal baths at different temperatures. The system behaves like a diode which allows the propagation of energy and magnetization currents in one direction only. This effect is described by a simple model of two coupled nonlinear oscillators interacting with two independent reservoirs. It is shown that the rectification phenomenon can be interpreted as a a stochastic phase synchronization of the two spin oscillators. A brief comparison with realistic micromagnetic simulations is presented. This new effect yields promising opportunities in spin caloritronics and nanophononic devices.