Thermal comfort should be an integral part of urban design in the context of global warming and urbanization. The influence of built infrastructure on thermal perceptions of walking pedestrians is not well explored, but thermal walks that combine sensing technologies with simultaneous collection of user experiences is a promising research direction to shorten the gap. We examined the relationships between the built environment, heat perception, and behavioral coping mechanisms in one of the most heat vulnerable Phoenix neighborhoods. Using Phoenix as an example, where extremely hot summer temperatures are becoming a norm, can help to address heat challenges of other cities that are facing rising temperatures. This study is an experimental citizen science project in which participants were surveyed during a 1-hour walk around the neighborhood and recorded their experience in a field guide. Walkers wore GPS devices and microclimate measurements were taken to gain deeper insights on subjective heat perception and physical body heat accumulation during the walk. Results revealed the differences in heat perception across a variety of urban landscapes. Participants identified preferred and most challenging locations. Combined GPS and microclimate data mapped in GIS visualized dependencies between the streetscape, microclimate, and thermal perceptions. Moreover, we presented the evidence of thermal alliesthesia, a feeling of pleasure from relieving of thermal discomfort. This project is one of the first to examine the impact of urban environment on dynamic psychological and physiological responses to heat. Using sensing technologies and collecting subjective perceptions, this research will inform the design changes in the neighborhood that will undergo redevelopment. It can serve as an example for other cities striving to adapt urban microclimates to new extremes.