Rapid urbanization has changed the urban spatial form, which directly leads to the emergence of urban informal settlements, and the impact on ecological environment is manifested as the obvious deterioration of urban thermal environment. The thermal environment of informal settlements, which are called urban villages in China, is seriously deteriorated. In the process of urban renewal, we should pay attention to the thermal environment effect of urban villages and promote the sustainable development of cities. However, at present there are few studies on the differences of thermal comfort among urban settlements. Taking Shenzhen as an example city, this paper distinguished several scopes such as urban villages, formal settlements and non-urban areas, then analyzed the pattern characteristics of urban thermal comfort by using the Modified Temperature and Humidity Index (MTHI), and finally explored the spatial relationship between thermal comfort and various environmental factors through spatial regression models. The results show that (1) thermal comfort has significant spatial autocorrelation and the thermal environment centers are clustered in built-up areas of Shenzhen city. The overall MTHI of urban villages is relatively the highest, and the dominant thermal comfort level in summer is sultry and hot. (2) According to the Spatial Error Model, the green space coverage represented by NDVI has the strongest mitigation effect on urban thermal comfort, and the building density has an obvious aggravating effect on the muggy environment. Both of them have more obvious effects on the thermal comfort of informal settlements. (3) The current thermal environment of urban settlements cannot be ignored, especially in urban villages. In the process of urban renewal, heat dissipation should be considered emphatically. Increasing urban green area and decreasing building density will help to improve urban thermal environment. The study can provide suggestions for urban renewal from the perspective of improving thermal environment.