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A creature is climibing on a wall, and fails a save against hideous laughter. The spell states

A creature of your choice that you can see within range perceives everything as hilariously funny and falls into fits of laughter if this spell affects it. The target must succeed on a Wisdom saving throw or fall prone, becoming incapacitated and unable to stand up for the duration.

Does it make a difference, if the creature has a natural climb speed, vs a creature that is climbing using an Athletics skill check?

There is a similar Q&A, but it is for Pathfinder. There also is a Q&A for when the creature has spider climb, which provides a natural climb speed (but may differ from skill based climbing, and spider climb as a spell offers additional benefits of not needing your hands).

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Only if the DM decides it does

There is no explicit rule in the game which states that becoming prone would make someone fall if they were currently climbing, and it's not an automatic direct consequence of any of the text in the prone condition itself. It'd be a consistent interpretation of the rules that being prone, whilst climbing, reflects a state of being off-balance or barely holding on but not quite falling.

Contrast this with the rules for flying movement, which do explicitly state:

If a flying creature is knocked prone, has its speed reduced to 0, or is otherwise deprived of the ability to move, the creature falls, unless it has the ability to hover or it is being held aloft by magic, such as by the fly spell.

The fact that this is stated with regards to flying movement but no equivalent rule exists for climbing lends support to the reading that being prone doesn't automatically cause a climber to fall.

This also appears to be the reading arrived at by the designers. As we all know, Jeremy Crawford's tweets aren't official rules clarification anymore, but he was asked about this in 2017 and responded:

No general rule causes a climbing creature to fall if knocked prone. As DM, I'd look at the environment and decide. #DnD

So the designer interpretation here is that it's not an automatic consequence of the rules, but it's within the DM's purview to judge that in any particular situation, becoming prone might have the additional consequence of a dangerous fall.

In my personal judgement that might vary depending on the creature in question, and how exactly the prone condition was inflicted. Becoming prone because of hideous laughter is a much gentler experience than becoming prone because Bob the Battlemaster hit you in the face with a hammer and a trip attack, for instance.

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    \$\begingroup\$ Good answer; I would like to see you add how being knocked prone while flying does make you fall (sometimes) as a point of comparison. \$\endgroup\$
    – Kirt
    Jul 23 at 14:52
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    \$\begingroup\$ That Crawford quote was about a creature with a climb speed. I don't think there's any rule that makes creatures climbing without natural/innate ability auto-fall, though. But that should be a consideration when "looking at the environment" / the specific case. Being doubled-over with laughter can still involve gripping tightly to a rope, though. \$\endgroup\$ Jul 23 at 18:13
  • \$\begingroup\$ Becoming prone doesn't make someone fall. But the Hideous Laughter spell itself says it makes the target to fall: "The target must succeed on a Wisdom saving throw or fall". One can rationalize this assumes literally falling, not just being affected by prone condition. \$\endgroup\$
    – enkryptor
    Jul 24 at 15:57

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