Increasingly people, especially those residing in urban areas with the urban heat island effect, are getting exposed to extreme heat due to ongoing global warming. A number of methods have been developed, so far, to assess urban heat vulnerability in different locations across the world concentrating on diverse aspects of these methods. While there is growing literature, thorough review studies that compare, contrast, and help understand the prospects and constraints of urban heat vulnerability assessment methods are scarce. This paper aims to bridge this gap in the literature. A systematic literature review with the preferred reporting items for systematic reviews and meta-analyses (PRISMA) approach is utilized as the methodological approach. PRISMA is an evidence-based minimum set of items for reporting in systematic reviews and meta-analyses. The results are analyzed in three aspects—i.e., indicators and data, modelling approaches, and validation approaches. The main findings disclose that: (a) Three types of indicators are commonly used—i.e., demographic properties and socioeconomic status, health conditions and medical resources, and natural and built environmental factors; (b) Heat vulnerability indexing models, equal weighting method, and principal component analysis are commonly used in modelling and weighting approaches; (c) Statistical regressions and correlation coefficients between heat vulnerability results and adverse health outcomes are commonly used in validation approaches, but the performance varies across studies. This study informs urban policy and generates directions for prospective research and more accurate vulnerability assessment method development.