The worsening urban heat island (UHI) effect poses a great challenge to the thermal comfort of people outdoors. However, there has not been a summary of the mechanisms by which UHI affects outdoor thermal comfort (OTC). This paper reviews the commonly used OTC evaluation indexes, data collection methods, and mitigation measures and discusses the relationship between UHI and OTC. The review is limited to peer-reviewed journal publications found in five databases: Science Direct, Scopus, Google Scholar, PubMed, and Web of Science. The review results indicate that physiological equivalent temperature (PET), universal thermal climate index (UTCI), and wet bulb globe temperature (WBGT) are the most widely used indexes in outdoor thermal comfort studies. The data collection methods mainly include questionnaire surveys, measurement, simulation, and formula calculation. There are four main approaches to mitigating the UHI effect in order to improve the comfort of people outdoors: vegetation strategies, water strategies, urban planning strategies, and material strategies. Future research can focus on developing OTC research methods and indexes and combine thermal comfort with visual comfort, auditory comfort, etc. to better evaluate the overall comfort.