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The thermal conditions that prevail in cities pose a number of challenges to urban residents and policy makers related to quality of life, health and welfare as well as to sustainable urban development. However, the changes in thermal stress due to climate change are probably not uniform among cities with different background climates. In this work, a comparative analysis of observed and projected thermal stress (cold stress, heat stress, no thermal stress) across four European cities (Helsinki, Rotterdam, Vienna, and Athens), which are representative of different geographical and climatic regions of the continent, for a recent period (1975 − 2004) and two future periods (2029 − 2058, 2069 − 2098) has been conducted. Applying a rational thermal index (Universal Thermal Climate Index) and considering two models of the EURO-CORDEX experiment (RCA4-MOHC, RCA4-MPI) under two Representative Concentration Pathways (RCP4.5, RCP8.5), the projected future changes in thermal conditions are inspected. The distribution of thermal stress in the current climate varies greatly between the cities, reflecting their climatic and urban heterogeneity. In the future climate, a reduction in the frequency of cold stress is expected across all cities, ranging between − 2.9% and − 16.2%. The projected increase in the frequency of optimal thermal conditions increases with increasing latitude, while the projected increase in the frequency of heat stress (ranging from + 0.2 to + 14.6%) decreases with increasing latitudes. Asymmetrical changes in cold- and heat-related stress between cities were found to affect the annual percentage of optimal (no thermal stress) conditions in future. Although future projections are expected to partly bridge the gap between the less-privileged cities (with respect to annual frequency of optimal thermal conditions) like Helsinki and Rotterdam and the more privileged ones like Athens, the former will still lag behind on an annual basis. [ABSTRACT FROM AUTHOR]