Over the last four decades, global temperatures have seen a generalized, long-term increase, and Europe is at the forefront of this trend, with temperatures rising by over twice the global average in the past 30 years. And the problem of excessive heat exposure is disproportionately more serious urban areas than it is in rural areas. This study investigates the issue of thermal inequality in Southern Europe, a largely understudied region exposed to substantial heat stress. We selected five major Spanish cities that reflect different socio-demographic and environmental contexts of the country, using the city’s administrative boundaries as our unit of analysis. We used bespoke neighborhoods to investigate heat inequality at multiple spatial scales. To illustrate the relationship between the thermal inequality patterns and the socio-demographic characteristics of neighborhoods, we estimated three separate generalized least squares regression models for each city, with the outcome variable being the average land surface temperature values in bespoke neighborhoods across the three spatial scales: 300 m, 1000 m, and 2000 m. The actual link between heat exposure and neighborhood characteristics appears to be sensitive to the local social, economic, institutional, historical and geographical context. Nonetheless, the connection between heat exposure and residents’ socioeconomic status, as well as the association of neighborhood population density with land surface temperature, seems to maintain consistent significance, often retaining their importance despite the spatial scale of analysis and employed zoning method.