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Abstract This article investigates the effect of urban expansion and climate change impacts on heat stress (HS) for Arizona's (AZ; USA) two largest urban agglomerations, the Phoenix and Tucson metropolitan areas, under relatively dry and moist warm conditions with the Weather Research and Forecasting (WRF)‐urban modeling system. We dynamically downscale two contemporary summers, one dry and one moist, relatively to their respective seasonal‐mean specific humidity across AZ. Urban expansion impacts on HS are assessed by performing two identical simulations for each contemporary summer using different land use‐land cover representations: one simulation with the current urban landscape, and one simulation replaces the urban cover with the region's most representative MODIS vegetation type. Climate change impacts on HS are evaluated by performing four additional future simulations, two via dynamical downscaling of relatively dry conditions (one summer under the RCP8.5 and one summer under the RCP4.5 emissions pathways) and two of relatively moist conditions (one summer for each RCP pathway). The selection of future summers is based on their respective seasonal‐mean specific humidity across AZ from an end‐of‐century analysis of 2086–2100. We characterize impacts on HS by examining changes in near‐surface air temperature, Heat Index (HI), and the Universal Thermal Climate Index (UTCI) across urban areas under dry and moist warm conditions. Our results demonstrate that climate change impacts on HS are not well captured by examining only the projected changes in air temperature and are dependent on the bioclimate index considered. Additionally, we apply a new human heat balance (HHB) approach to evaluate the number of hours per day that an acclimatized and non‐acclimatized person would experience uncompensable HS and compare these results (with the number of hours per day) that we obtain when the HI and UTCI surpass commonly used thresholds considered “dangerous” and of “extreme heat stress”, respectively. The HI and UTCI overestimate the number of hours per day that a healthy, acclimatized person would experience uncompensable HS and underestimate dangerous HS for a non‐acclimatized person under both dry and moist conditions, emphasizing that standard metrics may not produce the most informative physiological estimates of HS.