Increasing vegetation is considered one of the most efficient ways to mitigate the urban heat island (UHI) effect due to the cooling effect of evapotranspiration. Considering the adverse consequences of the UHI effect on sustainable development and health problems among city dwellers, the effectiveness of urban vegetation on regulation of the UHI effect should be quantitatively evaluated and analyzed to satisfy the needs of urban planning and policy making. Therefore, in this study we analyzed an one-year field experiment data along an 8-km-long belt transect with various land use types and measured the air temperature at 2-h intervals in Shenzhen, a subtropical megacity in China. The results showed that (1) a higher UHI intensity (UHII) was found during the nighttime throughout the year, with a maximum UHII of 4.02 °C during a heat wave night. (2) Both UHI intensity and the Discomfort Index showed a significant negative linear relationship to vegetated area ratio, especially during nighttime with a strong UHI effect. (3) The UHII decreases by 0.16–0.55 °C during nighttime and 0.05–0.15 °C during daytime, when the vegetated area ratio increases by 10%. (4) Increasing vegetation coverage could significantly reduce air temperature fluctuations and areas with vegetation coverage greater than 55% could maintain a relative stable thermal environment for the dwellers. These results could be useful for urban thermal environmental management and urban planning.