Thermal conditions with step changes and ramps in air temperature (Ta) are universal in buildings. However, a comprehensive understanding of the influences of these dynamic thermal factors on thermal comfort remains elusive. This study investigated the physiological and psychological responses 16 healthy college students, including thermal sensation vote (TSV), thermal pleasure (TP), positive and negative affect schedule (PANAS), skin temperature, blood pressure, wrist pulse, and electroencephalography (EEG). The experimental procedure included step-changes from an office room (26 °C) to a meeting room under five different Ta (22/24/26/28/30 °C) and subsequent ramping (down/up/cycles) back to 26 °C. After these different warm/cool thermal experiences, TSVs (−0.2 to 0.2) were insignificantly different and TPs (0.2–1.6) were significantly different (P = 0.006) at neutral condition of 26 °C. Specifically, TPs under neutral conditions were higher after a warmer thermal experience than after a cooler thermal experience. Under the same Ta, TSVs were significantly lower (P = 0.031) by approximately 0.5, when Ta ramping down compared to ramping up and stable warm conditions. The cheek temperature showed stronger correlations with TP and PANAS scores than with other body parts. The blood pressure was weakly correlated with TSV but exhibited a strong relationship with TP. Moreover, the TP and positive emotions exhibited strong negative correlations with wrist pulses and EEG at Theta (4–8 Hz). These findings offer insights into refining the prevailing thermal comfort models when considering dynamic thermal factors in shaping thermal perceptions.