Yup - at Home Depot, the main lumber drag has untreated Spruce. There is pine, and it's usually near the back last lumber aisle along with the harder woods (maple, poplar, etc).
Having a Chop saw at home is really useful for this too

. CT has a basic one on sale on a rotating basis, and as long as you have the right blade for the wood you're cutting, you should be good. I forget what ours is - I just know don't use the same blade Husband was using on the moulding

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Avoid the green and you'll be good. Never get pressure treated wood due to the chemicals used.
It's also really easy to make a playstand with PVC piping and vet wrap (to avoid slipping for your little ones) - check the As Is section in ikea - we found a large stainless steel plate (2.5 feet wide) there for a playstand, and drilled it onto a stool. we can have all three of our boys on it (well Merlin & Stryder, Merlin & Rosco, or just Rosco - Rosco's a bit of a bully), and they get up & down pretty easily.
Have fun, and be creative!