Modeling, validating, and simulating are three essential parts in investigating the heat mitigation benefits of urban trees (BUT). Therefore, 81 relevant studies from the last ten years are reviewed, analyzed, and summarized in this study. Three main ways for urban trees to adjust the environment are summarized, including shade creation and radiation modification, cooling effects of transpiration, and airflow blocking and modification effects. Research works are analyzed with regard to four categories: (1) heat and moisture exchange mechanisms and their mathematical modeling; (2) verification of modeling predictions based on measurements; (3) thermal performance simulation and prediction; and (4) environmental assessment and human thermal comfort analyses. Future research opportunities are discussed: (1) conduct real-time and in-depth measurements to analyze the mechanisms of heat and moisture transfer of trees in different areas; (2) develop tree radiation attenuation, airflow resistance, and transpiration models to accurately describe heat and moisture transfer processes in the urban environment; and (3) establish a three-dimensional numerical simulation method that can accurately simulate the urban thermal environment with trees. This review provides researchers with an overview and potential research opportunities on the thermal effects of urban trees.