The Mediterranean is recognized among the most responsive regions to climate change, with annual temperatures projected to increase by 1–5 °C until 2100. Large cities may experience an additional stress discomfort due to the Urban Heat Island (UHI) effect. In the present study, the WRF-ARW numerical weather prediction model was used to investigate the climate change impact on UHI for two Mediterranean cities, Rome and Thessaloniki. For this purpose, three 5-year time-slice simulations were conducted (2006–2010, 2046–2050, 2096–2100) under the Representative Concentration Pathway (RCP) 8.5 emission scenario, with a spatial resolution of 2 km. In order to comprehensively investigate the urban microclimate, we analyze future simulation data across sections crossing urban/non-urban areas, and after grouping them into three classes depending on the location of the grid cells. The urban areas of both cities present increased average minimum temperature (Tmin) in winter/summer compared to other rural areas, with an UHI of ~+1.5–3 °C on average at night/early morning. Considering UHI under future climate change, we found no significant variations (~±0.2 °C). Finally, we found that the numbers of days with Tmin ≥ 20 °C will mostly increase in urban coastal areas until 2100, while the largest increase of minimum Discomfort Index (DImin) is expected in urban low-ground areas.