This paper uses heat transfer experiments and computational fluid dynamics (CFD) simulations to investigate the conjugate heat transfer (CHT) in a high-pressure pneumatic control valve assembly. A heat transfer test rig was constructed, and time–temperature histories of five test points placed on the valve assembly’s outer surface were recorded for study validation. The Unsteady Reynolds-Averaged Navier–Stokes (URANS) CFD methods with the standard k-ε turbulence closure equations were adopted in the numerical computations. Polyhedral grids were used; time step and mesh convergence studies were conducted. Simulated and measured temperatures profile comparisons revealed a good agreement. The CHT results obtained from CFD showed huge velocity fields downstream of the valve throat and the vent hole. The airflow through the valve was icy, mainly in the supersonic flow areas. Low temperatures below 273.15 K were recorded on the internal and external walls of the valve assembly. The consistency of the measured data with the numerical results demonstrates the effectiveness of polyhedral grids in exploring the CHT using CFD methods. The local entropy production rate analysis revealed that irreversibility is mainly due to viscous dissipation. The current CHT investigation provides a potential basis for thermostress analysis and optimization.