Urban heat island (UHI) effect has become a main urban environmental problem in megacities. To express the UHI effects more meaningfully and provide scientific basis for heat mitigation and urban planning, both field measurements and numerical simulations were conducted in Xi'an City, China. Three typical urban local climate zones (LCZs) with close geographical locations—high-rise/low-rise residential areas (LCZ4/6) and urban parks (LCZA)—were chosen to investigate thermal environments in vertical spaces. It was found that UHILCZ6/4−LCZA could reach 1.2/2 °C during the daytime and 0.3/0.7 °C in the night at screen-level height. In particular, temperature inversions were found in residential areas during the daytime, which led to an increase in the UHI intensity at certain heights. To investigate means to improve the thermal environment of residential areas, numerical simulations were carried out to test the influence of cool roofs and cool facades. It was found that the daytime air temperatures could be reduced by 0.2 °C and 0.4 °C after adopting high-reflectance roofs and facades in high-rise residential area at screen-level height, respectively. In addition, the implementation of cool facades also affected the air temperature profiles and atmospheric conditions, leading to the disappearance of temperature inversions and complicated stratification, and providing more evident cooling effects at certain heights. The findings of this study provide new insights into thermal environments of urban zones with different structures and have practical importance for urban UHI mitigation.