Megacities, such as Lagos, Nigeria, face significant challenges due to rapid urbanization and climate change, resulting in a higher intensity of the urban heat island effect, coupled with high population density, making the city fall under the category of moderate to high heat stress/risk. Despite this, very few studies have analyzed the urban impact on heat stress over the coastal city, albeit with poor resolution data. In this study, we assessed the performance of an integrated high-resolution WRF-urban scheme driven by the readily available urban canopy information of the local climate zone (LCZ) to simulate local meteorological data for analyzing the spatiotemporal pattern of heat stress over the megacity. Our results show that the WRF-BEP scheme outperformed the other evaluated urban schemes, reducing the normalized root mean squared error by 25%. Furthermore, using humidex, we found a generally high incidence of intense discomfort in highly urbanized areas and noted the significant influence of urban morphology on the pattern of heat stress, particularly at night due to the combined effect of urban warming and higher relative humidity. The most socioeconomically disadvantaged urban areas, LCZ7, were most affected, with “hot” heat stress conditions observed over 90% of the time. However, during the afternoon, we found reduced heat stress in the core urban areas which might be due to the shading effect and/or cold air advection. Our findings would be relevant in the development of the urgently needed climate/heat adaptation plans for the city and other sub-Saharan African cities.