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This study investigates the differences in outdoor thermal comfort in different spatial types over long-term observations during the transition season in a cold region. Using the Universal Thermal Climate Index (UTCI) as an evaluation index, subjective questionnaires and field surveys were conducted on thermal comfort in three different typical outdoor environments (sunlight, tree shade and building shade) in Dalian (Northeast China). The results demonstrated the following: (1) Air temperature and mean radiant temperature were the dominant meteorological factors affecting outdoor thermal comfort in Dalian. (2) The main thermal sensation recorded in the transition season was “slightly cool”. Over time, the human thermal sensation experienced a gradual transition from “hot” to “cold”. (3) Compared with direct sunlight, the average UTCI decreased by 6.6 and 3.5 °C for building shade and tree shade environments, and the neutral UTCI in Dalian was found to be 18.8 °C. Subjects were most sensitive to the thermal environment in building shade, then in tree shade and the least in sunlight. (4) When UTCI ≥ 21.9 °C, the thermal acceptability rate in building shade remained the highest; when 10.2 °C ≤ UTCI < 21.9 °C, it was highest in tree shade; and when the UTCI < 10.2 °C, it was highest in sunlight. This study verifies the UTCI applicability in the transition season in cold regions and analyzes the spatial differences in human thermal comfort. These differences play a positive role in developing optimization strategies for outdoor thermal environments, improving environmental satisfaction and facilitating pedestrian outdoor activities.