Heat waves pose additional risks to urban spaces because of the additional heat provided by urban heat islands (UHIs) as well as poorer air quality. Our study focuses on the analysis of UHIs, human thermal comfort, and air quality for the city of Madrid, Spain during heat waves. Heat wave periods are defined using the long-term records from the urban station Madrid-Retiro. Two types of UHI were studied: the canopy layer UHI (CLUHI) was evaluated using air temperature time-series from five meteorological stations; the surface UHI (SUHI) was derived from land surface temperature (LST) images from MODIS (Moderate Resolution Imaging Spectroradiometer) products. To assess human thermal comfort, the Physiological Equivalent Temperature (PET) index was applied. Air quality was analyzed from the records of two air quality networks. More frequent and longer heat waves have been observed since 1980; the nocturnal CLUHI and both the diurnal and nocturnal SUHI experience an intensification, which have led to an increasing number of tropical nights. Conversely, thermal stress is extreme by day in the city due to the lack of cooling by winds. Finally, air quality during heat waves deteriorates because of the higher than normal amount of particles arriving from Northern Africa.