Xinjiang is one of the world’s most sensitive and vulnerable regions to climate change. However, little is known about the current status and changes in thermal comfort conditions in this area. Using the Universal Thermal Climate Index (UTCI) derived from the newly available high-resolution dataset HiTiSEA, the spatial–temporal pattern and changes thereof over annual and seasonal scales across Xinjiang from 1981 to 2019 were evaluated. The results reveal that the distribution and change of thermal comfort in Xinjiang have apparent regional heterogeneity and seasonal characteristics. Across all scales, 7 of 10 UTCI thermal stress categories were observed, from slight cold stress to strong heat stress. Annually, the mean UTCI is 3 °C and has significantly increased at 0.37 °C decade−1. The mean number of comfortable days (CDs) is 114 days, with a range from 0 to 189 days. On the space scale, the Tarim Basin experiences the highest UTCI value, while the Ili River Valley, the north side of the Tianshan Mountains, and the peripheral areas of the Tarim Basin have a higher number of CDs. Seasonally, summer has the highest UTCI value, while winter is the lowest. The trend for all seasons is upward, and spring increases fastest. Results also indicate that air temperature has a positive correlation with climate comfort, and the influence of air temperature on climate comfort is most significant. Further research indicates that the range and intensity of population exposure to uncomfortable climates in Xinjiang have increased. The distribution and expansion of population exposure are similar to the population density. These findings contribute to a systematic understanding of the local climate environment and can be helpful for the assessment of the impact of climate change and optimize tourism development.