Global urbanization significantly impacts the thermal environment in urban areas, yet urban heat island (UHI) and urban heat wave (UHW) studies at the mega–region scale have been rare, and the impact study of urbanization is still lacking. In this study, the MODIS land surface temperature (LST) product was used to depict the UHI and UHW in nine mega–regions globally between 2003 and 2020. The absolute and percentile–based UHW thresholds were adopted for both daily and three–day windows to analyze heat wave frequency, and UHW magnitude as well as frequency were compared with UHI variability. Results showed that a 10% increase in urban built-up density led to a 0.20 °C to 0.95 °C increase in LST, a 0.59% to 7.17% increase in hot day frequency, as well as a 0.08% to 0.95% increase in heat wave number. Meanwhile, a 1 °C increase in UHI intensity (the LST differences between the built-up and Non-built-up areas) led to a 2.04% to 92.15% increase in hot day frequency, where daytime LST exceeds 35 °C and nighttime LST exceeds 25 °C, as well as a 3.30% to 33.67% increase in heat wave number, which is defined as at least three consecutive days when daily maximum temperature exceeds the climatological threshold. In addition, the increasing rates of UHW magnitudes were much faster than the expansion rates of built-up areas. In the mega–regions of Boston, Tokyo, São Paulo, and Mexico City in particular, the increasing rates of UHW hotspot magnitudes were over 2 times larger than those of built-up areas. This indicated that the high temperature extremes, represented by the increase in UHW frequency and magnitudes, were concurrent with an increase in UHI under the context of climate change. This study may be beneficial for future research of the underlying physical mechanisms on urban heat environment at the mega–region scale.